The relationship between foreign exchange market and stock market is of great significance to the stable development of a country's economy.In order to study this relationship,this paper theoretically analyzes the mechanism of exchange rate to the stock market,then builds multivariate VAR model and verifies the short-term relationship between the effective exchange rate,M1,the interest rate R,and net exports NETEX and Hushen 300 index.Granger causality test,impulse response function and variance decomposition methods prove that exchange rate is the important factor on the volatility of stock returns.Money supply mechanism and interest mechanism to stock market are significant in short term.Foreign trade system is more significant in long term.