The impact of financial markets on each other is an important issue concerning planners and enterprises. The main purpose of the present study is to identify and evaluate the interaction between two Iranian financial markets, stock and exchange markets. Using monthly data of the exchange rate change and stock return over the period of October 1997 to April 2014 and applying the multivariate models, the estimated results show that the GARCH- BEKK multivariate model with t- student distribution is better than the other models. In addition the results suggest that there is no interaction between the foreign exchange market and the stock market in Iranian economy.