本文以美国及日本两国为例，探讨一国产业股价指数报酬的汇率风险。结果显示同时考虑汇率与外国产业在其本国内的竞争性时，仅少数产业报酬显著受汇率的影响。然而，当模型仅考虑出口与汇率对产业报酬的影响时，结果显示受本国及对手国出口效果影响的产业显著增加，这表示一国产业在其国内的竞争效果并不影响其在国外的竞争，出口能力才是影响其产业报酬的重要因素。“,”This paper studies the exchange risk of a country’s industrial stock index return, in the United States and Japan for example. The results showed that when taking into account the exchange rate and counterpart country’s industries competitivein their countries, only a small number of industrysignificantly affected by the exchange rate. However, when the model takes into account only the impact of exchange rates on exports and industry’s return, the results show the industry’s return significant affected by the domestic and counterpart country’s export, which means that a country’s industry return in its domestic competition does not affect its abroad competitive, and the export capacity is an important factor affecting their industry remuneration.