This study measures exchange rate exposure in developing and small open economy at firm level and also investigated both linear and nonlinear relationship of stock returns and exchange rate variations. OLS technique is used for time series data set for each firm individually. It is observed that many listed firms from across the 22 sectors are meaningfully exposed. The nonlinear exposure in companies are found larger than linear exposure. For the time span started in Jan- 1999 and ends in Dec-2013, so far 288 nonfinancial listed firms estimated out of which twenty five percent linearly and forty five percent are nonlinearly exposed to exchange rate vulnerability. The average number of firms having negative exposure is greater which shows that most of the firms are net importing firms while very few firms from specific sectors are positively exposed which shows that these firms are net exporting firms. Firms with positive exposures belong to Textile, Leather and Food sector. Supervisor: Dr. Arshad Hassan