This paper has investigated the asymmetric relationship between carbon emission trading market and stock market in China by using the nonlinear auto-regressive distributed lag (NARDL) model. Based on our investigation on both of the overall and sector level of stock market, we have obtained interesting and convincing empirical results that show there are significantly negative long-run and short-run asymmetric relationships between carbon emission trading market and overall stock market in China. Specifically, we have noticed that while passing the effects from the former to the later, the increasing of carbon emission trading price would make greater effects on the stock price than its decreasing. Also, on the sector level, carbon emission trading price is significantly related to some energy intense sectors and financial sector stock market. Furthermore, we have surprisingly found out that there are no significant effects passing from stock index to carbon emission trading price in China, neither on the overall level nor on the sector level of stock market. •Investigate asymmetric relationship between China carbon emission trading market and stock market by NARDL model•Carbon emission trading markets affect both overall and sector level of stock markets in China•Significantly negative long-run asymmetry is between overall stock market and carbon emission trading market•Carbon emission trading prices significantly relate with some energy intense sectors and financial sector stock market