Abstract: It is of great significance for portfolio decision-making and investment risk reduction to study the correlation among the different industries of listed companies in Shanghai Stock Exchange. Vine Copula method, which is capable of viewing the correlation among multi-markets, was used to measuring the net relationship between the different industries, with the daily return of all ten indexes of Financial & Real Estate, Raw Materials, Industry, Optional Consumption, Main Consumption, Public Utilities, Energy, Telecommunication, Medicine & Health Care and Information Technology as sample. The main empirical results show that: there is significant asymmetric and fat tail correlation characteristic between the different industry indexes; there is a strong correlation between every two industry indexes under non-conditions and among some three or four industry indexes while taking all the industry indexes into account; As is shown, the conditional correlation among five or more than five indexes is mutually independent, so investment in five or more than five industries could meet the goal of avoiding the risk. R_Vine Copula model is more suitable for measuring the net correlation of industry indexes in the Shanghai Stock Exchange compared with the D_Vine and C_Vine Copula model.