Abstract
As the Federal Reserve raises the key interest rate, the exchange rate and the financial market will change. This paper studies how exchange rate change will influence one of the largest entertainment companies’ stock returns. This paper builds VAR model and ARMA-GARCH model to show the influence and finds that the stock return will increase in the short term but significantly shows fluctuations in response to exchange rate changes. So, the paper gives some suggestions for this discovery. The policymakers of the central bank should treat the volatility seriously and think carefully about adjusting the interest rate and the Disney company should create more good products to attract consumers and investors to keep the increase of the return and avoid loss of revenues because of exchange rate changes and fluctuation of the stock return. Investors should also treat the changes in money and financial markets carefully to avoid losses. This research provides some methods to predict the stock return in the future and find the influence of several variables, which can be used in many areas.