This study examines the economic exchange rate exposure for 22 industries in Pakistan. The key findings of the study are as follows. Firstly, it shows that industry-level share values are statistically significantly influenced by changes in the PKR/US-dollar exchange rate in general. Secondly it reports a statistically significant lagged response of stock values to exchange rate change. Finally, the highly capital intensive industries are, however, more exposed to changes in exchange rate as compared to less capital intensive industries. The robustness of the exchange rate exposure does not fall over time.