Identifying and preventing the cross-market risk contagion is very important for the market stability. This paper uses a MODWT-Vine quantile regression method to study the dynamic dependence and risk contagion effects among the international oil market, the Chinese commodity market and the Chinese stock market under multiple time scales, thus bringing in more specific information by considering the influence of covariates. The empirical results show that for the original time scale, the positive correlation between oil and stock decreases with the impact of the Chinese commodity market. The spread of the risk from the international oil market to the Chinese commodity market is relatively stronger than that to the Chinese stock market when the influence of covariates is controlled. The Chinese commodity market shares the risk contagion of the international oil market to the Chinese stock market to a certain degree. Volatility spillovers within the Chinese market are stronger than oil market spillovers to the Chinese domestic market. Besides, the risk contagion is different on different investment levels, for instance, the risk in the Chinese stock market of the medium-term investment time scale of 2–32 days is more contagious than that of the short-term time scale of 1–2 days. Finally, the asymmetry of risk contagion across the discussed markets of oil, stock and commodity reveals the specific and important information about the sensitivity of the risk contagion. •The risk contagion of oil spread to the Chinese commodity is relatively stronger than that to the Chinese stock.•The Chinese commodity shares the risk contagion of the international oil to the Chinese stock to a certain degree.•Volatility spillovers within the Chinese market are stronger than oil market spillovers to the Chinese domestic market.•The asymmetry of risk contagion across the markets reveals the important information about the sensitivity of the risk contagion.