This paper examines time-varying stock price and volatility dynamics of constituent industry sector indices in the Shanghai Stock Exchange. It finds that market beta risk is priced in the time-series movements of stock prices and responds positively to rises in non-diversifiable risk. The asset pricing implication here is that investors demand a higher required rate of return during rises in aggregate stock market volatility. Finally, this paper identifies which industries exhibit the highest degree of volatility persistence and how this impacts their respective beta estimates. It shows time-dependence in beta risk for all the sector indices and, finally, in contrast to studies which examine developed markets, there is no statistical evidence of volatility asymmetry in these industries. This suggests that ‘good’ and ‘bad’ news exert an equal impact on the conditional variance process on Chinese stock prices.