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Return and Volatility Spillovers between the Raw Material and Electric Vehicles Markets

Author

Listed:
  • Oleg Alekseev
  • Karel Janda
  • Mathieu Petit
  • David Zilberman

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 didn’t find any strong evidence of the existence of volatility spillovers between these two markets through lithium unexpected news.

Suggested Citation

  • Oleg Alekseev & Karel Janda & Mathieu Petit & David Zilberman, 2024. "Return and Volatility Spillovers between the Raw Material and Electric Vehicles Markets," CAMA Working Papers 2024-40, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Handle: RePEc:een:camaaa:2024-40
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    File URL: https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2024-06/40_2024_alekseev_janda_petit_zilberman_0.pdf
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    More about this item

    Keywords

    EVs; return spillovers; volatility spillovers; jump component; jump intensity; 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

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