The influence of exchange rate movements on the firm value has become an important field both in academic research and practical investments analysis.This paper tries to investigate how Chinese manufacturing industry is affected by the movements of foreign exchange rate afier the exchange rate regime reform of China in July 2005.Specifically,this study uses an econometric approach that allows for asymmetry in both the exchange rate variable and the market variable,to test a large sample of 443 Chinese manufacturing firms dividing into 22 sub-sector portfolios over period July 2005 and September 2010 using stock returns as a proxy of firm value.The empirical findings show that a greater proportion-77％ of sectors of Chinese manufacturing industry experience significant foreign exchange rate risk exposure,among them 94% sectors indicate negative exposure while 6% indicate positive exposure.As for asymmetries,the empirical findings tell that 64% of the 22 sample sectors of Chinese manufacturing industry indicate significant asymmetric foreign exchange exposure.