This study examines the role of global oil price uncertainty in the cross-sectional pricing of individual stocks in the Chinese stock market, motivated by the intertemporal capital asset pricing model. Using both Fama-Macbeth regressions and multifactor time-series regressions, we find that stocks with higher oil price uncertainty betas have significantly lower expected returns. This finding is consistent with the asset pricing implications of the demand of investors for stocks with high potential to hedge against oil price uncertainty. We further conduct an industry analysis and find that the negative association between the oil price uncertainty beta and expected returns is pronounced, primarily in the Manufacturing and Transportation & Communication industries. Moreover, we demonstrate that the return predictability of the oil price uncertainty beta cannot be subsumed by those of other oil-related betas and well-known macro-uncertainty betas, thus supporting that global oil price uncertainty is an independent source of systematic risk in the Chinese stock market. •Oil price uncertainty beta negatively and prominently predicts future stock returns.•The negative beta-return relation is consistent with intertemporal hedging demand.•Oil price uncertainty is an independent source of systematic risk in China.•Oil price uncertainty has a prominent pricing implication in the Chinese market.