Firms, which trade in today’s open economy often involved multi-currency transactions, will have their stock returns influenced by traded transaction currencies variations. Frequently, these firms also use derivatives for either active (hedging and speculative) or passive (hedging) currency risk management. It is therefore nontrivial to analyse empirically for these firms the relationship between stock return, currency risk exposure, and the motive of their derivatives use. This paper aims to test the relationships, via a two-factor market return model, which is based on the Arbitrage Pricing Theory (Ross, 1976). Descriptive and Inferential statistical tests are implemented on published accounting data (cross sectional and time series) for 69 Australian listed firms excluding non-financial institutions. Statistical test results reveal that there is a weak positive relationship between stock return and currency risk exposure level. The test results also suggest a negative relationship between the currency risk level and the motive (either hedging, speculative or both) of derivatives use. These findings are consistent with the modern finance theory.