In this paper, we pay attention to the relationship between stock index and increments of trading accounts in A, B share market and funds. We show that there exists bilateral relationship between A, B index and their trading accounts increments. However, Granger causality only exists from stock index to increments of funds accounts. Regressions show that the investors’ sentiment will be easily driven by the index in the same direction, which imply momentum strategy in a very short period. In comparison, when using weekly data, only increments of funds accounts Granger cause the stock index. These uncover the differences between fund managers and small investors while investing on stock market. We also analyse the relationship between index volatility and trading accounts volatility.