This study empirically analyses the possible relationship between stock market prices and exchange rates for five emerging markets namely Brazil, China, India, Mauritius and Russia from 1995 to 2015, using dynamic panel data analysis, namely a Panel Vector Autoregressive model. The panel co-integration tests suggest that there is a long run relationship between stock market prices and the variables. Furthermore, the Vector Error Correction Model asserts that stock market prices are negatively but insignificantly related with exchange rates. Stock prices are also negatively related with money supply and total reserves; it was also established that interest rates are negatively linked with exchange rates. Bi-directional relationship between stock prices and the two variables: money supply and total reserves were observed. Additionally, indirect relationships between stock prices and inflation through money supply and the other between stock prices and exchange rates through total reserves were also established.