Based on an analysis of the collected data of 2 863 common trading days from July 21, 2005 to July 21, 2018 from Sino-US stock market and RMB exchange rate, the empirical results are as follows: RMB exchange rate, China,s Shanghai Composite Index and the US S&P 500 Index failed to pass the co-integration test, indicating that there is no long-term equilibrium relationship. RMB exchange rate has no Granger causality effect on Shanghai Composite Stock Price Index, but with a one-way causal relationship with the S&P 500 Index. Meanwhile, GARCH shows that the S&P 500 index is significantly affected by the RMB exchange rate and its own previous day,s returns, with China,s Shanghai Composite Index positively affected by the RMB exchange rate and its own previous day’s returns.