In order to investigate the impact of digital finance on different industries in the securities market, it provides objective reference indicators for market risk identification, target valuation and investment strategy formulation. At the same time, it also provides an important reference for digital financial policy formulation and market supervision.Using the weekly return data of the first-level industry in the A-share market in the past ten years, a panel autoregressive model of the industry return and volatility of the securities market on the digital financial index and other variables is constructed. The empirical results show that the digital finance is positively correlated with the overall return of the securities market.The growth of digital finance can restrain the growth of market volatility. Digital finance has good economic and statistical significance for industries such as media, electronics, real estate, household appliances, computers, automobiles, and communications.In the long run, there are signs of convergence in earnings differences between industries. Digital finance promotes the balance of income in the industry, indicating that digital finance has a positive effect on the improvement of capital allocation efficiency in the industry.