IDEAS home Printed from https://ideas.repec.org/p/fau/wpaper/wp2023_21.html
   My bibliography  Save this paper

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

Author

Listed:
  • Oleg Alekseev

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic)

  • Karel Janda

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic & Department of Banking and Insurance, Faculty of Finance and Accounting, Prague University of Economics and Business, Prague, Czech Republic)

  • Mathieu Petit

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic)

  • David Zilberman

    (Department of Agricultural and Resource Economics, Rausser College of Natural Resources, University of California, Berkeley, USA)

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.

Suggested Citation

  • Oleg Alekseev & Karel Janda & Mathieu Petit & David Zilberman, 2023. "Impact of Raw Material Price Volatility on Returns in Electric Vehicles Supply Chain," Working Papers IES 2023/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2023.
    • Handle: RePEc:fau:wpaper:wp2023_21
    as

    Download full text from publisher

    File URL: https://ies.fsv.cuni.cz/en/veda-vyzkum/working-papers/6775
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    EVs; volatility; jump intensity; jump size; ARJI; EGARCH-EARJI;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • L61 - Industrial Organization - - Industry Studies: Manufacturing - - - Metals and Metal Products; Cement; Glass; Ceramics
    • L62 - Industrial Organization - - Industry Studies: Manufacturing - - - Automobiles; Other Transportation Equipment; Related Parts and Equipment

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fau:wpaper:wp2023_21. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Natalie Svarcova (email available below). General contact details of provider: https://edirc.repec.org/data/icunicz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.