From behavioral finance，the relationships among industry characteristic，market sentiment and return volatility were verified by using the sampling data derived from Shanghai Security Exchange (SHSE) A share market. Results show that investors' behaviors and risk return relationship are similar under different industry characteristics and are all inefficient. There are the relative effects of return volatility among industry parts，while the influences of market sentiment on return volatility in different industries are different. It is concluded that the efficiency of stock market is further advanced and the industry characteristics are considered with market sentiment in China stock markets.