Financial stability needs the prevention and mitigation of risk contagion across financial markets. In contrast to previous literature that primarily explores risk contagion between two markets, this paper utilizes a high-dimensional VAR for VaR model to encompass the foreign exchange market, bond market, commodity market, financial futures, and stock market in China within a unified framework. It analyzes the risk spillover effects among these five financial markets under different states, aiding in capturing the indirect effects that result from shock propagation across different financial markets. The Wald test and backtesting analysis demonstrate pronounced risk spillover effects among the five markets only during crisis or bubble states. Furthermore, this study employs stress testing to reveal that short-term shock impacts in a single market can be absorbed by other financial markets such as the stock market. However, when all four financial markets are in normal states, they significantly reduce the left-tail risk of other financial markets like the stock market. Additionally, we propose calculating expected returns, volatility risk, crash risk, and kurtosis of a single financial market using different quantiles from the same financial market at the same point in time. This approach yields more robust results and mitigates the influence of extreme values. We further investigate whether financial markets can hedge each other’s volatility risk or crash risk. The results reveal that the commodity market and financial futures market can effectively hedge the volatility and crash risk of other financial markets, while the foreign exchange market, bond market, and stock market are unable to hedge the volatility and crash risk of other financial markets.