Abstract: With the deepening of the reform of foreign exchange management system in China, the effect of increasing volatility of the RMB exchange rate on the capital market is more and more significant. The index of spillover effect between capital markets in China was built based on the improved VAR model. The impact of spillover effect of exchange rate volatility on capital market was empirically analysed. The results show that the impact of spillover effect is asymmetric among the different volatility level samples of RMB exchange rate, and low volatility of exchange rate has the most significant impact of spillover effect; and that the empirical results also confirmed that the exchange rate volatility may lead to the bidirectional spillover effect on capital market.