Using the samples of Chinese A-share listed companies, this paper empirically investigates the relationship between idiosyncratic volatility and stock cross-sectional return and throws light upon the question“Does idiosyncratic volatility puzzle in China”.Traditional OLS regression residual standard deviation and GARCH model are used to estimate idiosyncratic volatility, and both the Fama-MacBeth cross-section regression and quantile regression method to investigate the relationship between idiosyncratic volatility and stock cross-sectional return.The OLS regression analysis shows that idiosyncratic risk is negatively correlated with stock expected return, but the relationship is not statistically significant, which means that idiosyncratic volatility puzzle does not exist.The quantile regression on the other hand gives a more comprehensive description of the relationship between idiosyncratic risk and stock expected return.At the low quantiles the relationship is significantly negative while at high quantiles the relationship is significantly positive.