Abstract: To accurately gauge the relationship between crude oil prices and the US & Chinese Energy stocks,this paper,based on the theory globally minimizing the sum of squared residuals,investigates the structural break in the impact of oil price changes on the US and Chinese Energy stock returns. Our empirical results show that the timing of the two breaks in Chinese Energy stocks approximates to the beginning of the US sub-prime mortgage crisis and the ending of European debt crisis,respectively. The timing of the two breaks in the US Energy stocks is associated with the cycle of crude oil prices. We find that the influence of the change in crude oil prices on Chinese Energy stocks is insignificant before the sub-prime crisis,but it becomes significant and statistically positive after the crisis. The influence has reached its maximum during the global financial crisis. The impact of oil price changes on the US Energy stock is significantly positive at any segment and it reaches its maximum when oil prices are booming. In addition,the effect of oil price fluctuations on the US Energy stocks is greater than on Chinese Energy stocks.