The present invention provides a proton exchange membrane (PEM) with different molecular permeation rates, particularly a PEM suitable for a direct methanol feeding type fuel cell (DMFC) and with the power of recovering anode moisture. The polymer structure of the invented PEM adopts a phase separated structure design where the crystalline phase and the amorphous phase are separated. This limits the swelling property of the material and limits the structure space of ion clusters in a nano scale in order to reduce the permeation rate of the PEM to methanol fuel. On the other hand, a polymer grafting reaction is used to control the number of ion groups increased. A difference in the concentration of fuel over the two ends of the anode and cathode of a DMFC causes the reverse (from the cathode end to the anode end) permeation rate of the product water molecules on the anode end in the PEM is larger than the positive (from the anode end to the cathode end) permeation rate of the methanol molecules in the fuel, thereby forming a function of recovering cathode water without causing excessive permeation of methanol.