This paper analyzes the strong performance of the industry in the China’s stock market in four different phases of the economic cycle in the past 15 years, and compares with the industry effect in U.S. stock market at different stages in the economic cycle based on the conclusions of Merrill Lynch model. Merrill Lynch model is based on the structure of the U.S. economy and the economic cycle characteristics; hence this paper focuses on causes of the effect differences between the two countries in terms of structural and cyclical fluctuations of the economy, and points out that in the past economic cycles, China’s industry effects have been highly correlated with investment-driven economic structure and cyclical characteristics.