Rapid stock market growth without real economic back-up has led to the 2015 Chinese Stock Market Crash with thousands of stocks hitting the down limit simultaneously multiple times. We provide a detailed analysis of structural breaks in heavy-tailedness and asymmetry properties of returns in Chinese A-share markets due to the crash using recently proposed robust approaches to tail index inference. The empirical analysis points out to heavy-tailedness properties often implying possibly infinite second moments and gain/loss asymmetry for daily returns on individual stocks. We further present an analysis of the main determinants of heavy-tailedness in Chinese financial markets. It points out to liquidity and company size as being the most important factors affecting the returns’ heavy-tailedness properties. At the same time, we do not observe statistically significant differences in tail indices of the returns on A-shares and the coefficients on factors affecting them in the pre-crisis and post-crisis periods.