This paper examines the exchange rate risk on the Moscow Exchange. Two main Russian equity indices, MICEX and RTS, were chosen as the objects of research. These indices are correspondent in every factor except the currency in which they are denominated. While MICEX Index is denominated in rubles, RTS Index is denominated in US dollars. The established hypothesis of the article is that two identical indices, which differ only in the currency in which they are denominated, have a different price development in time. This hypothesis has been tested by using a linear regression model and its adjustments. It was observed that different currency causes different volatility. Hence MICEX Index is more suitable for risk-averse investors, RTS Index for aggressive investors. The data has been monitored from June 2000 to June 2014 on daily closing prices.