This paper analyzes the relationship between the change of the exchange rate and the performance of the Chinese stock market after exchange rate regime and split share structure of stock market reformed in 2005, which is important for us to understand the linkages and mechanisms between the two markets deeply. We find that the exchange rate is highly related with the stock market, and there exists long-term cointegration. The results demonstrate that in the long term, the relationship between the two variables mainly belongs to flow-oriented model; Shanghai A Share index is influenced by the exchange rate, yet Shanghai B Share index has shown less indication of long term interrelation with the exchange rate. In the short term, the relationship between the two variables mainly belongs to stock-oriented models, there are inter influence between the stock market and the exchange market. The paper further analyzes the possible influence of different sector indices to exchange rates. Finally, the paper puts forward some advices and policy suggestions.