This paper examines the relationship between changes in the Indian rupee exchange rate and returns on stock market indices representing different industry sizes in India. The analysis found that returns on all stock portfolios are positively correlated with changes in the rupee's external value in absolute terms. However, when adjusting for market trends, export-oriented industry indices like IT and technology are negatively associated with changes in the exchange rate. The paper aims to study the interaction between stock and foreign exchange markets at different levels and how exchange rate volatility impacts industry portfolios in the Indian stock market.