The purpose of this paper is to investigate the impact of the US Purchasing Manager’s Index (PMI) on stock returns in Korean industries. A Vector Error Correction Model (VECM) is used to analyze the dynamic inter-relationship which exists among the stock indices of 6 Korean industries, KOSPI index in Korea, S&P 500 index, West Texas Intermediate oil price and PMI in the US during the period from January 1993 to December 2015. The results show that an increase in the US PMI gives a positive impact as an increase in the stock index returns which is consistent with previous literature. In particular, the electric and electronics industry had the largest response in terms of stock returns in the six industries to the impulse of the US PMI. The study contributes to the extant literature by establishing that the US PMI exerts significant influence on stock returns of Korean industries.