This research article attempts to examine the relationship between exchange rate (EX) and stock price using quarterly data of Iran on nominal EX, stock price index, liquidity and consumer price index covering the period of 1994:02 to 2010:01. It also investigates the long‑run relationship between variables using Johansen and Juselius (1990) co‑integration test and the short‑run dynamic causal relationship by using Toda and Yamamoto (1995) procedure. Likewise, variance decompositions serve as tools for evaluating the dynamics interactions and strength of causal relations among variables in the system. The results show that there is no any significant evidence of a relationship between stock prices and EXs.