The Time-Varying Impact of Exchange Rate Changes on Disney Stock Returns and Volatility: Evidence from the Fed's Rate Hike

Shuxin Deng

doi:10.54691/bcpbm.v31i.2652

Authors

Shuxin Deng

DOI:

https://doi.org/10.54691/bcpbm.v31i.2652

Keywords:

Fed’s rate hike; exchange rate; Disney stock.

Abstract

In the world economy and financial markets, exchange rates fluctuate continuously over time. This paper assesses the effects of exchange rate fluctuations on the return and volatility of Disney's stock. A VAR model and an ARMA-GARCH model were developed to analyze the changes in stock prices in terms of value and volatility. This paper finds that changes in exchange rates have a limited impact on Disney stock prices and have no significant effect on the daily volatility of its returns. However, because the appreciation of the U.S. dollar triggered by the Fed's rate hike will offset this positive and negative effect, investors should keep their perspective elsewhere without caring about the volatility of Disney stock prices due to exchange rate changes.

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