This paper studies the relationship between exchange rate variability and the volatility of the returns of US multinationals. Based on a sample of US multinationals with sales in the Asia-Pacific region, we examine how exchange rate fluctuations around the 1997 Asian financial crisis affected the sensitivity of those firms to stock market risk. The empirical evidence shows that increases in exchange rate variability during the crisis were associated with statistically significant increases in stock return volatility for the multinationals. Some of the increases in volatility were systematic in nature, because the beta coefficients of the firms rose during the period of increased exchange rate variability.