This　paper　explores　the　dependence　between　real　crude　oil　price　changes　and　Chinese　real　industry　stock　market　returns　based　on　the　monthly　data　from　1994/03　to　2014/06.　We　address　this　issue　using　the　quantile　regression　approach,　enabling　a　more　detailed　investigation　of　structure　and　degree　of　dependence.　Empirical　results　reveal　that　the　reaction　of　market　returns　to　crude　oil　is　highly　heterogeneous　across　conditional　distribution　of　industry　stock　returns.　Furthermore,　there　is　evidence　that　this　dependence　is　positive　and　exists　only　in　recessions　or　bearish　markets　with　low　expected　returns.　The　dependence　at　low　quantiles　is　not　limited　to　one　market,　but　is　a　common　feature　across　industries.　Additionally,　dependence　also　changes　since　the　onset　of　structural　breaks.　We　determine　that　Chinese　industry　stock　and　global　crude　oil　markets　have　contagion　in　rare　situations.　Most　cases　do　not　demonstrate　contagion.　©　2016　Elsevier　B.V.