This paper aims to determine the significance relation and direction of stock markets and exchange rate on Fragile five Countries (South Africa, Turkey, Indonesia, India, and Brazil) from January 2010 to December 2019. This study applied the VAR Analysis and Granger Causality Test to determine the relationship between exchange rates and stock indexes. The results show that South Africa and Turkey exchange rates and stock indexes are in bidirectional relationships, for India and Brazil, there is a one-way causality finding from the exchange rate to stock price, and the results for Indonesia show no causality.