At the end of 2014, the Fed withdrew from quantitative easing and entered a cycle of interest rate hikes, which led to the return of global capital. While China is at a stage of agglomeration of financial risks, weakness of the real economy and violent fluctuations in asset prices, and the domestic economy was more vulnerable to the impact of foreign monetary policies. This paper uses the DAG-SVAR-based spillover index method to analyze the impact of the Fed rate hike from November 2014 to March 2018 on the volatility spillovers of China's stock market. The results show that: (1) The rise in the federal funds rate under the interest rate hike cycle intensifies the volatility spillover intensity of the Chinese and US stock markets, through channels of RMB depreciation and investor risk aversion, but the positive incentives do not exist for a long time. (2) After the US dollar raised interest rates for the second time, this incentive turned from positive to negative, and there was an inflection point effect. (3) China's increase in long-term interest rates intensifies the spillover intensity of capital market volatility, and the policy of strong financial supervision is not conducive to China's economy against new external information shocks. The research results of this paper provide new evidence for the impact of the Fed rate hike on China's financial market, which is of great significance for the monetary authorities to improve the coordination of monetary policy regulation and risk supervision.