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

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F24%3A10488845" target="_blank" >RIV/00216208:11230/24:10488845 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=fL4s9WhTqv" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=fL4s9WhTqv</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.eneco.2024.107808" target="_blank" >10.1016/j.eneco.2024.107808</a>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GX19-26812X" target="_blank" >GX19-26812X: Excelence v ekonomickém výzkumu energetické efektivity a modelování dopadů - FE3M</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2024

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Energy Economics

ISSN

0140-9883

e-ISSN

1873-6181

Svazek periodika

137

Číslo periodika v rámci svazku

September 2024

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

11

Strana od-do

107808

Kód UT WoS článku

001290357800001

EID výsledku v databázi Scopus

2-s2.0-85200323747