The main purpose of this research is to determine the existence of lead-lag effects in stock returns in the Indonesia Stock Exchange. Fifty-eight companies were taken as samples, selected through industrial classification and selection criteria of leader and follower stocks. The data is analysed using Vector Auto Regression method to extrapolate and investigate the existence of lead-lag effects in Indonesian capital market. This study finds that returns to stocks with relatively high market capitalizations lead returns to stocks with relatively low market capitalizations in Indonesian industry portfolios. However, out of ten industries, there are only six who contribute significant result. This research concludes that lead-lag effects do exist in certain industries and it may assist investors in managing the trading strategy. Indonesian capital market is not efficient since lead-lag effects is one of the phenomenon, which against the EMH.