The main purpose of this paper is to explore the information impact and transmission of portfolio returns when market-wide information is declared. The results indicate returns of index will be positive negative when good bad news is announced in bull market. In bear market, when good news is announced, the returns of index are negative but insignificant, and the negative returns of index when bad news is announced. Another results we find that returns of stocks with high trading volume lead returns of stocks low trading volume when market-wide information is announced, the result is for large size companies, but small size companies is contrary.