Abstract: This paper uses frequency domain analysis and phase analysis to investigate the volatility characteristics of the stock market，bond market，credit market，real estate market，money market and foreign exchange market of China and the US，and empirically tests the transmission mechanism of financial volatility between each sub － markets. The results show that: (1) the main cyclical fluctuation of the financial sub － markets of the two countries is about 9 years of medium cycle volatility，followed by about 3 years of short cycle volatility; (2) the stock markets of China and the US are the main leading factors in their respective financial systems，in contrast，the transmission path of China’s financial market volatility is relatively clear，mainly manifested in two paths，such as “stock market － foreign exchange market － bond market － credit market”and “stock market － real estate market”; (3) except for the weak connection of real estate market，the other financial sub － markets in China and the US are closely related， and gradually evolved from the leading state of American financial market before the financial crisis to the current alternative leading state; (4) the role of China and the US in their respective financial markets and the real economy among them，the US shows the basic trend that the real economy leads the financial market，while China shows the leading trend of financial factors，and the function of financial market as a macro － economic “barometer”is relatively prominent. 

Keywords: Financial Cycle; Transmission Mechanism; Frequency Domain Analysis; China and the US