Abstract: In order to explore the risk spillover effect between the coal market and the carbon market, the yield data of Wuhan, Guangdong and Shenzhen carbon markets and the coal market are used to characterize the nonlinear correlation between the carbon market and the coal market yield by using the DCC-GARCH model. Based on the parameters obtained by the above model, the risk spillover effect between the carbon market and the coal market is calculated by using the ΔCoVaR model. The results show that at the initial stage of the construction of carbon market, the risk spillover effect of carbon market and coal market is mainly manifested as one-way risk spillover effect of coal market on carbon market. With the continuous improvement of the market, two-way risk spillover effect will be generated between coal market and carbon market. The coal market has a positive risk spillover effect on Wuhan carbon market and a negative risk spillover effect on Guangdong and Shenzhen carbon markets.