Abstract: Based on VAR-（BV）EGARCH model which introduces interest rate as exogenous variable in the first time, this paper studies on the spillover effects between Chinese convertible bonds and stock markets. The research results can be divided into three aspects. Firstly, return spillover only exists from stock to convertible bonds markets; secondly, there are bidirectional volatility spillover effects between convertible bonds and stock markets. At the same time, volatility spillovers exist from interest rate market to stock market. Thirdly, there is asymmetric spillovers effect from stock to bonds convertible markets. So we can see that the stock market is still absolutely dominant in these two financial markets.