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Both exchange market and stock market play important roles in a countrys economic development. The issue of whether stock prices and exchange rates are related has received considerable attention after the East Asian crises. This article explores the interaction between 1ZMB/USD exchange rate and manufacturing index using daily data for the period from August 1, 2005 to August 1,2010. Methods being used in the article include Pearson test, ADF unit root test, Johansen cointergration test and Grange causality test. The empirical results show both long-term cointergration and short-term relationship between exchange rate and the stock index. The conclusions support the flow-oriented model and reveal negative linkage between two variables.Both government and companies should pay attention to these inner connections maintain a stable financial market and foreign exchange rate risk to the minimum level.