Starting from document research, this paper analyzes the mechanism of the risk spillover effect from developed capital markets to the Chinese capital market. After that, this paper conducts an empirical study on the risk spillover effect of developed capital markets on the Chinese capital market by using the DCC-GARCH model. Then the impact degree of global major stock market fluctuations on the Chinese stock market is measured. The analysis shows that there exists a significant risk spillover effect of developed capital markets on the Chinese capital market, but the effect began to weaken after the financial crisis and the size of the spillover effect can be affected by macro factors such as geographical locations, foreign trade, and foreign investment.