The complex structure and diverse imformation of stock markets make stock movement prediction extremely challenging. However, most of the existing studies treat each stock as an individual or use graph structures to model complex higher-order relationships in stock markets, without considering the hierarchy and dynamics among stocks, industries and markets. Aiming at the above problems, a Dynamic Macro Memory Network (DMMN) was proposed, and price movement prediction was performed for multiple stocks simultaneously based on DMMN. In this method, the market macro-environmental information was modeled by the hierarchies of “stock-industry-market”, and long-term dependences of this information on time series were captured. Then, the market macro-environmental information was integrated with stock micro-characteristic information dynamically to enhance the ability of each stock to perceive the overall state of the market and capture the interdependences among stocks, industries, and markets indirectly. Experimental results on the collected CSI300 dataset show that compared with stock prediction methods based on Attentive Long Short-Term Memory (ALSTM) network, GCN-LSTM (Graph Convolutional Network with Long Short-Term Memory), Convolutional Neural Network (CNN) and other models, the DMMN-based method achieves better results in F1-score and Sharpe ratio, which are improved by 4.87% and 31.90% respectively compared with ALSTM, the best model among all comparison methods. This indicates that DMMN has better prediction performance and better practicability.