The task of event extraction consists of three subtasks namely entity recognition, trigger identification and argument role classification. Recent work tackles these subtasks jointly with the method of multi-task learning for better extraction performance. Despite being effective, existing attempts typically treat labels of event subtasks as uninformative and independent one-hot vectors, ignoring the potential loss of useful label information, thereby making it difficult for these models to incorporate interactive features on the label level. In this paper, we propose a joint label space framework to improve Chinese event extraction. Specifically, the model converts labels of all subtasks into a dense matrix, giving each Chinese character a shared label distribution via an incrementally refined attention mechanism. Then the learned label embeddings are also used as the weight of the output layer for each subtask, hence adjusted along with model training. In addition, we incorporate the word lexicon into the character representation in a soft probabilistic manner, hence alleviating the impact of word segmentation errors. Extensive experiments on Chinese and English benchmarks demonstrate that our model outperforms state-of-the-art methods.