This paper investigated the impacts of oil price shocks on China's fundamental industries. In order to analyze the reactions of different industries to oil price shocks, we focused on four fundamental industries: grains, metals, petrochemicals and oil fats. We separated the oil price shocks into two parts, positive and negative parts, to investigate how commodity markets react when oil prices go up and down. We further studied the extreme price movements, called jumps, existing in the oil markets and how jump behavior has affected China's commodity markets. Our results suggest that asymmetric effects of oil price shocks did exist in the four markets and the negative oil price shocks had stronger influences on the four markets in China. The petrochemicals market suffered most from the oil price shocks, and the grains market was least sensitive to the shocks. When jumps occurred in the crude oil market, the four commodity markets would be affected differently. The oil fats market and petrochemicals market tended to "overreact" to jumps. (C) 2014 Elsevier Ltd. All rights reserved.