Abstract：Stock market and foreign exchange market are important components of financial market and the main origin of financial risk. The coordinated development and risk spillover between them are related to the stable operation of financial market. Based on the asymmetric tail dependence structure between exchange rate returns and stock returns, the mixed Copula model is applied to describe the correlation between exchange rate returns and stock returns during the period of extreme rise and decline. Through estimating the parameters of the mixed Copula model, we apply the model to the empirical study of China's stock market and exchange rate market to analyze tail linkage structure and risk spillover between the markets. The results show that when extreme volatility occurs in markets, the correlation between stock market and exchange rate market increases. The sharp rise and fall of stock price and exchange rate have obvious risk spillover. The stock market and exchange rate market present asymmetric tail dependence structure, and the upper-tail correlation between them is more significant. At the same time, the impact of exchange rate fluctuations on the Shanghai stock index and Shenzhen stock index is different.

Keyword：financial risk; stock market; exchange rate market; mixed Copula model; market volatility; risk spillover;