Abstract: It is a key issue for some government to study on risk contagion effect among different interna tional financial markets.In this paper we construct standardized residuals of indices loss based on some stylized facts in stock market, and then measures dy namic extreme risk based on stylized facts and EVT, at last, we use Granger-Causality method to test contagion effect of dynamic extreme risk of Chinese stock market and other international stock markets.Our results show that extreme dynamic risks transmit from Chinese stock market to other three international stock markets through Hong Kong stock market.Extreme dynamic risks transm it form Hong Kong stock market to Tokyo stock market, and then transmit form Tokyo stock market to New York stock market.There exists bidirectional contagion effect between Tokyo and New York stock markets.

Key words: stock market, stylized facts, EVT, dynamic risk, contagion effect