Abstract: In last several years, unconventional emergencies occur frequently, which engendered a huge impact on financial markets. The study of unconventional emergencies impacting on financial markets is conducive to raise awareness of the risk of investors and avoid the risks of unconventional emergencies. This paper uses the ARIMA model to study the impact of SARS incident on the stock market return and bond market return. Through the establishment of ARIMA model, and by using the model to forecast the rate of return on the stock market and bond market during the SARS event, it is found that, during the SARS event, the difference between the actual values and predicted values of the Shanghai stock index are mostly negative, and the difference between the actual values and predicted values of Shanghai bond index are mostly positive. The empirical results show that due to security transfer behaviors of investors, SARS has had a negative impact on Chinese stock markets, and a positive impact on bond markets