This paper uses the rolling window VAR model to estimate the total volatility spillover index and net volatility spillover index between Brent crude oil index, CSI 300 index and primary industry index during 2011-2021, and studies the volatility spillover effect between international crude oil market and Chinese stock market combined with the time-varying characteristics of volatility spillover index. In general, the spillover effect of volatility between the two markets is relatively small. However, in the period of market crisis, the spillover effect of volatility between markets will increase significantly. During the domestic market crisis, however, the volatility spillover effect between markets is directional, mainly from the international crude oil market to the Chinese stock market. In the period of international market crisis, the spillover effect of volatility between markets is not directional. Based on this, domestic institutions and investors should enhance the diversification of asset portfolios in the future; In the period of international market crisis, the regulatory authorities should pay special attention to the imported financial risks of the international crude oil market to the Chinese stock market.