This paper aims to establish whether there is a relationship between the main industries of the STOXX EURO 600 index. Another research question is addressed in this article: what is the link between small and large firms? In order to answer these two questions, we will use various econometric models such as VAR-impulse response functions, Granger causality tests and GARCH models for modeling the volatility. The empirical results pointed out a positive relationship between all the sectors selected and STOXX 600 index. The Granger causality test showed a unidirectional causal relationship from the insurance sector to STOXX 600 and a bidirectional causal relationship between automobiles & parts, construction and material components, retail, telecommunications, utilities and STOXX600. We strongly believe that through our results we will help investors in their decision-making process, academic research and the policy makers and will improve supervisory process.