The literature has shown a substantial relation between stock return co-movement and macroeconomic variables. Our results contribute to the research by separating the stock return co-movement into intra- and inter-industry return co-movement and found that the predictive power comes mainly from the inter-industry return co-movement. We found that there is a significant positive causality running from inter-industry co-movement to GDP and money supply, and from intra-industry co-movement to CPI and money supply.