Based on the GARCH and Quantile Regression models，this paper，with11 specific industries as a sample，analyzes the correlativity between RMB exchange rate and the stock market volatility after the exchange rate reform that occurred in July 2005.We get the following conclusions：Compared with RMB spot rate changes，NDF，as the representative of forward exchange rate，has a significant impact on industry stock returns；The expected exchange rate has an obviously gradual influence on industry stock returns；In the first stage of reform，industries affected by forward exchange rate pay more attention to forward exchange rate appreciation，while in the third stage，different industries have diversified responses to spot exchange rate and forward exchange rate.