Abstract: This paper explores the relationship between stock returns and industry,local and market information in Chinese stock market.The results show that,though there is a significant comovement in the stock returns of firms headquartered in the same geographic area as that in US stock market,industry information dominates stock price movement and has incremental information content beyond local and market information.After controlling for industry and local information,there is no significant relationship between stock return and market information.Moreover,the industry comovement of stock return is stronger for firms in industries with higher competition.We argue that the price for mation in Chinese stock market has a significant industry component linked to the highly correlated fundamentals of firms within an industry.

Key words: stock market, information, asset pricing, industry comovement of stock returns