In-depth exploration of the difference of price transmission capacity between Chinese and world agricultural futures market is beneficial to understand the efficiency of Chinese futures market. Studying its transmission mechanism can deepen the understanding of the characteristics of wheat market price fluctuations, which is important to further guide the development of China's futures market and ensure China's wheat industry to develop healthily. This paper uses the VAR model and ARMA-GARCHX model to analyze and compare the prices of futures and spot market in China and the United States from the perspective of yield and volatility transmission. The results show that futures and spot market prices of China and the United States have a mutual guiding relationship, and the price guidance role of the United States in both markets is stronger than China. Then, compared with the spot price, the transmission of futures prices is more comprehensive and significant. Considering the results, China needs to deepen the reform of the futures market and implement precise policies to enhance the ability of market price discovery.