Impact of Raw Material Price Volatility on Returns in Electric Vehicles Supply Chain

Oleg Alekseev, Karel Janda, Mathieu Petit and David Zilberman
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Oleg Alekseev: Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic

No 2023/21, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: This paper investigates the impact of volatility in the upstream electric vehicles (EV) battery raw materials market on the downstream stock returns of individual EV producers. The study uses the daily stock returns of two lithium producers and the newly proposed EGARCH-EARJI model to capture the jump component of volatility in the EV battery raw materials market. The effect on individual stock returns of EV producers is studied via the adjusted Fama-French model with the jump factor. The results indicate that jumps exist in the EV battery raw materials market and ripple through stock returns of EV producers, having a stronger effect on those specializing in EVs solely.

Keywords: EVs; volatility; jump intensity; jump size; ARJI; EGARCH-EARJI (search for similar items in EconPapers)
JEL-codes: C22 G14 L61 L62 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2023-07, Revised 2023-07
New Economics Papers: this item is included in nep-ene and nep-tre
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Persistent link: https://EconPapers.repec.org/RePEc:fau:wpaper:wp2023_21

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