Well that depends. I have changed domain names on some of my sites and you don't necessarily have to move your files anywhere as the DNS is most important factor in a case like that.

For example if your virtual host IP is 1.1.1.1 and you domain is www.a.com, you can change domain to www.b.com without moving your site at all, you would just update your DNS.

You would need to ask you ISP if they require you to move or not.