As China has experienced fast economic growth for decades, China continues to become more integrated into the global financial markets. However, the world’s second largest economy is suffering from a sharp decline in growth and the global impact of China’s slowing economy is being felt worldwide. The relationship between China and the global markets is worth being paid attention not only in international trade but also in financial markets. Hence, this paper presents empirical evidence on spillovers among China and the global markets and how these linkages have evolved since the RMB internationalization. We examine whether or not the RMB internationalization index (therein, RII) will influence the degree of spillovers between China and the global markets. In the meantime, spillovers from the other financial markets might be gradually decreasing because of China’s relative increasing influence. Thus, our finding could impact traditional asset allocation and challenge the role of dollar-denominated asset around the world. Eventually, the RMB internationalization will be a significant issue.