Based on the feature of skewed and fat tailed distributions, this paper investigates the risk transmission mechanism of bond market, stock market, foreign exchange market and money market based on the skewed t APARCK model and Granger inspection. The research result shows that risk transmission capacity of different markets is different at the period of rising and falling. Bond market, stock market, and money market have risk transmission capacity, on the contrary, foreign exchange market doesnt have the risk transmission capacity at the period of rising, but it has the risk transmission capacity at the period of falling. Wholly speaking, the risk transmission capacity of financial markets at the falling period is more powerful than that at the rising period.