n analysis of long-run and short-run association between the share market and the exchange rates in China was carried out through cointegration, vector error correction modeling technique and VEC Granger causality tests, in which daily data covering July 2005 to April 2007 was used.  The results show a cointegration relationship and long run equilibrium between the two variables in China.  It is found that there is unidirectional causality from exchange rates to stock prices in both the short-run and long-run, implicating for investors, policy makers and academicians.