Abstract: Considering a number of major events about the opening of the capital market after 2000 as nodes, the situation and dynamic trends of financial risk contagion between Chinese capital market and the major international capital markets have been investigated by using the system of co-higher-moments contagion tests. The main results are as follows: (1) the risk contagion between Chinese capital market and the major international capital markets occurs more on the higher order moments level such as volatility, skewness and kurtosis; (2) the risk contagion from the major international capital markets to Chinese capital market has experienced a non-liner process from rasing to falling to rasing; (3) The risk contagion between the major international capital markets and Chinese capital market is clustering, and it is relatively significant in the early stage of Chinese capital market opening; (4) the official entry of QDII into the internationl market in 2006 and the formal inclusion of A-share in the MSCI index system in 2018 have a far-reaching influnce on the risk contagion between Chinese capital market and the major international capital markets; (5) in general, the Hong kong’s stock market and Japanese stock market have a most significant risk contagion effect on the domestic market; (6) the impact from the American stock market to domestic market jumped to the top after A-share became the global target in 2018, and the impact has become increasing prominent as the capital market has gradually opened.

Key words: capital market openness; risk contagion; co-higher-moments