The paper examines the relationship between foreign exchange rate and the Indian Stock market movement using monthly data selected from BSE and NSE database, for the period started from April 2000 to July 2017. The different techniques employed in this study are ADF (Augemented Dicky Fuller test, VAR(Vector Auto regression) , Cointegration tests, Granger Causality test . The Cointegration test specifies that exchange rate and stock market index shows a long run association and Granger Causality test could not establish causality of any direction between exchange rate and stock market index. The findings of this study can be helpful for investors while designing their portfolio and also suggest not only the foreign exchange rate impact the stock market index other macroeconomic variables may also be considered to determine the impact on the stock market index.