We use the ARIMA-GARCH model to estimate the shocks of COVID-19 on Chinese agricultural markets and utilize the ARDL-ECM model to estimate the integration relationships between Chinese and international agricultural markets which are based on the effective market hypothesis theory and daily trading data of US, UK, China and India. The main study findings showed that COVID-19 has a significant negative impact on agricultural product market, specifically, India suffered with the greatest negative impact, followed by the UK, the US and China. Further, this study results revealed that Chinese grain markets that are considered strategic places have not been separated from international markets, but there still exist segmentation phenomena among non-strategic agricultural markets.