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Translation from original language as provided by authorAt present, the development of the China Stock Market is immature. There is a gap between China and the mature market, such as the information disclosure, trading mechanism, and investor structure. "Herding behavior" and other visions of the existence of the stock market show the particularity of the China Stock Market. Among the visions, there is a phenomenon should not be ignored, which is the lead-lag effects in returns of stocks. The main purpose of this paper is to test the existence of size-based lead-lag effects, and to explore its underlying causes. The main research method of this paper is the VAR model, and the research object are the A shares of Shanghai Stock Exchange. The result shows that the size-based lead-lag effect is significant in China, which means that the returns of large stocks lead the small ones. In order to study whether the effect is an intra-industry phenomenon, this paper selects ten key industries. The result shows that the