This　paper　investigates　the　impact　of　crude　oil　shocks　and　China＇s　economic　policy　uncertainty　on　stock　returns　at　different　locations　on　the　return　distributions.　Based　on　monthly　data　from　1995:1　to　2016:3,　we　address　this　issue　by　employing　the　quantile　regression　technique.　ThiS　approach　enables　a　more　detailed　investigation　in　different　market　circumstances,　namely,　bearish,　normal　and　bullish　markets.　Empirical　results　indicate　that　the　effects　of　oil　price　shocks　and　economic　policy　uncertainty　are　asymmetric　and　highly　related　to　stock　market　conditions.　Moreover,　both　the　nexus　of　oil-　and　economic　policy　uncertainty-stock　are　changed　at　the　onset　of　a　crisis.　Specially,　rising　oil　prices　have　greater　negative　effects　on　stock　returns　when　stock　markets　are　bullish　(extreme　higher　quantiles)　before　a　crisis,　whereas　the　effects　are　significantly　positive　under　different　market　conditions　after　the　onset　of　the　crisis.　Falling　oil　prices　lower　stock　returns　when　stock　markets　are　bullish　and　normal　before　the　crisis,　whereas　lower　stock　returns　under　different　market　conditions　except　extreme　bullish　after　the　onset　of　the　crisis.　These　findings　might　be　related　to　the　optimistic　or　pessimistic　investor　sentiments　and　investors　might　become　more　frightened　after　the　crisis.　(C)　2017　Published　by　Elsevier　B.V.