The main purpose of this paper is to explore the relationship between industry monthly sales and stock returns in Taiwan stock market, and whether change of monthly sales can be used to forecast the stock return. This paper uses vector autoregressive (VAR) Model to test the forecast power in five industries (total, manufacture, service, electronic and financial industry). The empirical evidence demonstrates that only monthly sales of the financial industry can be used to forecast the stock returns of financial industry, and the other ones can't. The results imply the industry monthly sales are so easily predicted by investors, that the changes of monthly sales unable to forecast the stock returns.