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Let me take a stab in the dark here. Are you using this variable within the script itself? I believe the '#!/bin/sh' line makes the shell script execute within a subshell. Therefore the variable would only be set within that subshell only.
My my limited knowledge or the way I look at it when the script is executed it is being run "by" the shell not "in" the shell as such so the shell doesn't have any knowledge of the variable your are exporting although any other things/scripts you call within the script should be aware of the exported variable as they are in turn being run by the script and can access the environment that is available to the inital script
To make the commands in the script be run as if they are executed at the current shells command line
. ./myscript (that's a dot space dot)
It's not a very technical explanation or perhaps even too accurate a description (although certainly slightly confused ) but it's the way my wee head likes to look at it.
Someone else might explain it better or correct me