Blood lipids are important risk factors for coronary artery disease (CAD). Here we perform an exome-wide association study by genotyping 12,685 Chinese, using a custom Illumina HumanExome BeadChip, to identify additional loci influencing lipid levels. Single-variant association analysis on 65,671 single nucleotide polymorphisms reveals 19 loci associated with lipids at exome-wide significance (P<2.69 × 10-7), including three Asian-specific coding variants in known genes (CETP p.Asp459Gly, PCSK9 p.Arg93Cys and LDLR p.Arg257Trp). Furthermore, missense variants at two novel loci - PNPLA3 p.Ile148Met and PKD1L3 p.Thr429Ser - also influence levels of triglycerides and low-density lipoprotein cholesterol, respectively. Another novel gene, TEAD2, is found to be associated with high-density lipoprotein cholesterol through gene-based association analysis. Most of these newly identified coding variants show suggestive association (P<0.05) with CAD. These findings demonstrate that exome-wide genotyping on samples of non-European ancestry can identify additional population-specific possible causal variants, shedding light on novel lipid biology and CAD.