The relationship between financial markets and industry growth has been approved by many previous studies, i.e. Haber (2000), Kominek (2003) and Kim (2013). In this paper, we try to find the impact of market capitalization as a proxy for financial market on the industry growth in Russia and Iran. Since, there two countries are classified as developing economies in which the financial markets can play a powerful engine to improve the industries’ performances. A country with a high market capitalization (market value) would have a more developed financial institutions, a well-developed bond and equity market. Under a convenient financial market, the industry of a country can have a bigger chance to have a permanent growth. So it would be interesting to compare market capitalization-industry growth nexus in Russia and Iran as two developing countries. In order to fulfill this purpose, an econometric model called Vector Autoregressive Model (VAR) is applied for the annual data over the period of 1992-2014. Furthermore, we have added some control variables to our model to obtain a reliable estimation. The data are collected from the World bank database, International Financial statistics (IFS) and the domestic official databases in Russia and Iran. Briefly speaking, the following issues are considered in this research: 1) the trends of industry growth and market capitalization in Russia and Iran; 2) using the VAR model to explore the effects of market capitalization on the industry growth in Russia and Iran.