Return and volatility spillovers between the raw material and electric vehicles markets

Oleg Alekseev, Karel Janda, Mathieu Petit and David Zilberman

Energy Economics, 2024, vol. 137, issue C

Abstract: This paper investigates the return and volatility spillovers between the upstream electric vehicles (EV) battery raw materials market and the individual downstream EV producers. The study uses the daily stock returns of two lithium producers and a new model in the GARCH family to capture the jump component of volatility in the EV battery raw materials market. Return and volatility spillovers are studied using an EGARCH(1,1) model including the excess stock returns of lithium producers in the mean equation and their jump component intensity in the variance equation. The results indicate that jumps exist in the EV battery raw materials market and that there exist significant return spillovers between lithium and EV producers. However, this paper did not find any strong evidence of the existence of volatility spillovers between these two markets through lithium unexpected news.

Keywords: EVs; Return spillovers; Volatility spillovers; Jump component; Jump intensity; EGARCH-EARJI (search for similar items in EconPapers)
JEL-codes: C22 G14 L61 L62 (search for similar items in EconPapers)
Date: 2024
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Working Paper: Return and Volatility Spillovers between the Raw Material and Electric Vehicles Markets (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324005164

DOI: 10.1016/j.eneco.2024.107808

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