Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/286350 
Year of Publication: 
2023
Series/Report no.: 
IES Working Paper No. 21/2023
Publisher: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
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.
Subjects: 
EVs
volatility
jump intensity
jump size
ARJI
EGARCH-EARJI
JEL: 
C22
G14
L61
L62
Document Type: 
Working Paper

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