Abstract: Adopting the methods of Lo et al. (1990) and using weekly return of 234 stocks listed in Shanghai A stock market, this paper conducts the size-sorted cross-autocorrelation matrices with lagging periods from 1 to 8 weeks. The different cross-autocorrelation and lead-lag structure in Shanghai stock market is found compared with those in US stock market reported by Lo et al. (1990). Investigation on Lo-MacKinlay contrarian strategy suggests that the cross-autocorrelation in Shanghai stock market has time-varying role for contrarian profits. This paper also finds that the overreaction may correlate to the different research length.