The objective of this study is to empirically investigate the effects of exchange rate volatility on stock market return volatility from listed companies in Sri Lanka. This study utilizes daily time series data for the All Share Price Index (ASPI) returns of the Colombo Stock Exchange (CSE) and exchange rates over a period of seven years from January 2011 to December 2017. Further, the study utilizes the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) estimation model in order to identify the impact of exchange rate volatility on stock market return. The empirical results of the study reveal that the volatility of Euro, Japan Yen, and US Dollars exchange rates has a positive and significant impact on ASPI return. Overall, the finding of the study highlight that exchange rate volatility is a determinant of stock market return volatility. The findings from this research could provide relevant insights into Sri Lankan listed companies.