AbstractThis paper examines the return links and volatility transmission between Chinese stock and commodity futures markets and draws implications for portfolio risk management. To these ends, we consider three vector autoregression‐multivariate generalized autoregressive conditional heteroskedasticity‐class models with which to model volatilities and conditional correlations between Chinese stock and three commodity futures markets. Our empirical results reveal evidence of return linkage and volatility transmission between the Chinese stock and commodity futures markets. We also analyse optimal portfolio weights and hedging ratios between s1tock–commodity pairs. Finally, we assess implications for mixed commodity–stock portfolios and find strong evidence of hedging effectiveness and downside risk reductions.