Abstract: In recent years, imported raw milk prices have been fluctuating frequently, and with the rapid growth of China’s dairy trade, this has brought serious challenges to the development of domestic raw milk industry. Based on the data of two raw milk market prices during 2008-2016 and applying the method of rolling cointegration and BEKK-GARCH models, this paper analyzed the correlation between domestic and imported raw milk markets, and discussed the price spillover effects of both domestic and imported raw milk markets. Results show that: the price signal of domestic and imported raw milk markets mainly spills from “imported to domestic”, and the price fluctuations of the two markets are in a dynamic consistency. The price of imported raw milk changes by 1% while that of domestic raw milk by 0.27% in the same direction. The imported raw milk market has a price spillover effect on the domestic market relying on the trade route. In a certain period of time, the former price volatility can aggravate the latter, and cause agglomeration effect and sustained impact on the latter. However, affected by some emergencies, the price spillover effect between the two is characterized by stage differences and time-varying characteristics. The situation of domestic milk sources and the imports of dairy products would have an impact on the intensity of imported raw milk price spillovers. In summary, this paper provides the following suggestions: to implement high quality raw milk project, to properly adjust subsidies direction, to efficiently control domestic raw milk supply orientation, and to strengthen the quality regulation of dairy imports.