This paper analyzes the relationships between the New Zealand stock market and the USD/NZD, AUD/NZD and USD/AUD exchange rates. Both long run relationship and short run causality are examined using daily and weekly data. We employ the cointegration test and Granger Causality test after checking the unit root of each variable. The empirical results indicate that there is no long run relationship between these exchange rates and each sector of the New Zealand Stock Exchange (NZX) when we use both daily and weekly data. However the results regarding relationships in short run are mixed. We find causality relationships between the exchange rates and the NZX 10, NZX 15, NZX 50 indices. Causal relationships are also documented between exchange rates and the sectors of Forestry, Goods, Intermediate, Ports, Textiles, Leisure, Media, Service, Non-local-Australia, Non-local-World and Agriculture.