IDEAS home Printed from https://ideas.repec.org/a/boh/actaub/v27y2024i3p67-80.html

Comprehensive Analysis of Volatility Spillover and Investment Efficiency of Stocks of Electrical Vehicles

Author

Listed:
  • Sadhna Bagchi

    (AAFT University of Media and Arts, Raipur, Chhattisgarh)

  • Shradha Gupta

    (O.P. Jindal University, Raigarh, Chhattisgarh)

  • Debasis Mohanty

    (O.P. Jindal University, Raigarh, Chhattisgarh)

Abstract

Electric Vehicles (EVs) have garnered substantial attention and adoption. Global governmental bodies are increasingly enforcing regulations aimed at curtailing carbon emissions and fostering the uptake of EVs, thus fostering an optimistic outlook for the EV industry. This scholarly discourse endeavors to scrutinize the ramifications of stock market dynamics on the Indian EV sector. Leveraging data from the Bombay Stock Exchange (BSE), comprising 1485 observations spanning from 2017 to 2023, this investigation employs Dynamic Conditional Correlation (DCC) methodologies to explore the phenomenon of volatility spillover from the Indian stock market to the Indian EV market. Given the propensity of price fluctuations to exert influence on both demand and supply dynamics within the EV market, a discernible escalation in volatility is observed. Thus, it becomes imperative to ascertain the extent to which volatility permeates from one market segment (equity) to another (EVs). Insights gleaned from this study are poised to furnish risk-averse investors with strategic directives for diversifying their portfolios, specifically by channeling investments from the equity market to the EV sector in the short term.

Suggested Citation

  • Sadhna Bagchi & Shradha Gupta & Debasis Mohanty, 2024. "Comprehensive Analysis of Volatility Spillover and Investment Efficiency of Stocks of Electrical Vehicles," Acta Universitatis Bohemiae Meridionalis, University of South Bohemia in Ceske Budejovice, Faculty of Economics, vol. 27(3), pages 67-80.
    • Handle: RePEc:boh:actaub:v:27:y:2024:i:3:p:67-80
    DOI: 10.32725/acta.2024.013
    as

    Download full text from publisher

    File URL: http://acta.ef.jcu.cz/doi/10.32725/acta.2024.013.html
    Download Restriction: free of charge
    File URL: http://acta.ef.jcu.cz/doi/10.32725/acta.2024.013.pdf
    Download Restriction: free of charge
    File URL: https://libkey.io/10.32725/acta.2024.013?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Satyaban Sahoo & Sanjay Kumar, 2024. "Volatility spillover among the sectors of emerging and developed markets: a hedging perspective," Cogent Economics & Finance, Taylor & Francis Journals, vol. 12(1), pages 2316048-231, December.
    2. Elsayed, Ahmed H. & Asutay, Mehmet & ElAlaoui, Abdelkader O. & Bin Jusoh, Hashim, 2024. "Volatility spillover across spot and futures markets: Evidence from dual financial system," Research in International Business and Finance, Elsevier, vol. 71(C).
    3. Zhengde Xiong & Lijun Han, 2015. "Volatility spillover effect between financial markets: evidence since the reform of the RMB exchange rate mechanism," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 1(1), pages 1-12, December.
    4. Jagjeevan Kanoujiya & Shailesh Rastogi & Venkata Mrudula Bhimavarapu, 2022. "Competition and distress in banks in India: An application of panel data," Cogent Economics & Finance, Taylor & Francis Journals, vol. 10(1), pages 2122177-212, December.
    5. Park, Jungwook & Ratti, Ronald A., 2008. "Oil price shocks and stock markets in the U.S. and 13 European countries," Energy Economics, Elsevier, vol. 30(5), pages 2587-2608, September.
    6. Xenia Raufeisen & Linda Wulf & Sören Köcher & Ulya Faupel & Hartmut H. Holzmüller, 2019. "Spillover effects in marketing: integrating core research domains," AMS Review, Springer;Academy of Marketing Science, vol. 9(3), pages 249-267, December.
    7. Shailesh Rastogi & Jagjeevan Kanoujiya & Satyendra Pratap Singh & Adesh Doifode & Neha Parashar & Pracheta Tejasmayee, 2023. "Fossil Fuel-Based versus Electric Vehicles: A Volatility Spillover Perspective Regarding the Environment," JRFM, MDPI, vol. 16(12), pages 1-16, November.
    8. Xie He & Tetsuya Takiguchi & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "Spillover effects between energies, gold, and stock: the United States versus China," Energy & Environment, , vol. 31(8), pages 1416-1447, December.
    9. David S. Rapson & Erich Muehlegger, 2023. "The Economics of Electric Vehicles," Review of Environmental Economics and Policy, University of Chicago Press, vol. 17(2), pages 274-294.
    10. Anil Khurana & V. V. Ravi Kumar & Manish Sidhpuria, 2020. "A Study on the Adoption of Electric Vehicles in India: The Mediating Role of Attitude," Vision, , vol. 24(1), pages 23-34, March.
    11. Liu, Zhiqiang, 2008. "Foreign direct investment and technology spillovers: Theory and evidence," Journal of Development Economics, Elsevier, vol. 85(1-2), pages 176-193, February.
    12. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mokni, Khaled & Youssef, Manel, 2019. "Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 14-33.
    2. Junttila, Juha & Pesonen, Juho & Raatikainen, Juhani, 2018. "Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 255-280.
    3. Schaeffer, Roberto & Borba, Bruno S.M.C. & Rathmann, Régis & Szklo, Alexandre & Castelo Branco, David A., 2012. "Dow Jones sustainability index transmission to oil stock market returns: A GARCH approach," Energy, Elsevier, vol. 45(1), pages 933-943.
    4. Liu, Zhenhua & Zhang, Huiying & Ding, Zhihua & Lv, Tao & Wang, Xu & Wang, Deqing, 2022. "When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis," Economic Modelling, Elsevier, vol. 114(C).
    5. Kumar, Satish & Pradhan, Ashis Kumar & Tiwari, Aviral Kumar & Kang, Sang Hoon, 2019. "Correlations and volatility spillovers between oil, natural gas, and stock prices in India," Resources Policy, Elsevier, vol. 62(C), pages 282-291.
    6. Muhammad Irfan Malik & Abdul Rashid, 2017. "Return And Volatility Spillover Between Sectoral Stock And Oil Price: Evidence From Pakistan Stock Exchange," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-22, June.
    7. Andriosopoulos, Kostas & Galariotis, Emilios & Spyrou, Spyros, 2017. "Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis," Energy Economics, Elsevier, vol. 66(C), pages 217-227.
    8. Chiranjivi, GVS & Sensarma, Rudra, 2023. "The effects of economic and financial shocks on private investment: A wavelet study of return and volatility spillovers," International Review of Financial Analysis, Elsevier, vol. 90(C).
    9. El Hedi Arouri, Mohamed & Jouini, Jamel & Nguyen, Duc Khuong, 2011. "Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1387-1405.
    10. Yudong Wang & Li Liu, 2016. "Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging," Empirical Economics, Springer, vol. 50(4), pages 1481-1509, June.
    11. Jouini, Jamel, 2013. "Return and volatility interaction between oil prices and stock markets in Saudi Arabia," Journal of Policy Modeling, Elsevier, vol. 35(6), pages 1124-1144.
    12. Nima Nonejad, 2020. "Does the price of crude oil help predict the conditional distribution of aggregate equity return?," Empirical Economics, Springer, vol. 58(1), pages 313-349, January.
    13. Abid, Ilyes & Guesmi, Khaled & Goutte, Stéphane & Urom, Christian & Chevallier, Julien, 2019. "Commodities risk premia and regional integration in gas-exporting countries," Energy Economics, Elsevier, vol. 80(C), pages 267-276.
    14. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    15. Morema, Kgotso & Bonga-Bonga, Lumengo, 2018. "The impact of oil and gold price fluctuations on the South African equity market: volatility spillovers and implications for portfolio management," MPRA Paper 87637, University Library of Munich, Germany.
    16. Dimitrios Kartsonakis-Mademlis & Nikolaos Dritsakis, 2020. "Does the Choice of the Multivariate GARCH Model on Volatility Spillovers Matter? Evidence from Oil Prices and Stock Markets in G7 Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 164-182.
    17. Jing Hao & Feng He & Feng Ma & Tong Fu, 2023. "Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 771-791, June.
    18. Mushtaq Hussain Khan & Junaid Ahmed & Mazhar Mughal & Imtiaz Hussain Khan, 2023. "Oil price volatility and stock returns: Evidence from three oil‐price wars," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3162-3182, July.
    19. Chin Wen Cheong, 2010. "A Variance Ratio Test of Random Walk in Energy Spot Markets," Journal of Quantitative Economics, The Indian Econometric Society, vol. 8(1), pages 105-117, January.
    20. Parminder Kaur & Ravi Singla, 2022. "Modelling and forecasting Nifty 50 using hybrid ARIMA-GARCH Model," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 14(1), pages 7-20, June.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends, Macroeconomic Effects, and Forecasts

    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:boh:actaub:v:27:y:2024:i:3:p:67-80. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Ivo Andrle (email available below). General contact details of provider: https://edirc.repec.org/data/efjcucz.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.