In this paper, sub-loan crisis in the United States as the background, the authors select 8 of China’s domestic industries, use of vector autoregressive (VAR) model, Granger causality test, impulse response function (IRF) and other technologies, to analyze China’s eight major industry crisis in the stock market before and after the closing price volatility causal relationship between changes in the industry to discuss the crisis transmition originated in response to the impact of the industry and its contagion effect between sectors. The results show that: 1) In the pre-crisis period of a smooth closing price of China’s eight major fluctuations in the industry there is no clear causal relationship; 2)Crisis in the steel industry during the closing price in most sectors of the fluctuations of the closing price fluctuations has a one-way causal relationship, with a small number of businesses closing price fluctuations in two-way causal relationship.