This paper examines the influence of exchange rate exposure on Australian stock returns and their volatility, using daily data from January 2003 to February 2013. Furthermore, the current study uses the exchange rate between the Australian dollar and seven other currencies to quantify the extent of the influence of each currency’s exposure on Australian stock returns and their volatility. The estimated results indicate that the lagged exchange rates of six of the seven currencies, and their unanticipated shocks, significantly influence Australian stock returns. However, the results show that the influences of the variances of exchange rates on Australian stock returns are insignificant. Unlike the influence of exchange rate volatility on Australian stock market returns, exchange rate volatility exposure on Australian stock market volatility indicates statistically significant results for the variance of two of the seven currencies.