IMPACT OF RAW MATERIAL PRICE VOLATILITY ON RETURNS IN ELECTRIC VEHICLES SUPPLY CHAIN
IMPACT OF RAW MATERIAL PRICE VOLATILITY ON RETURNS IN ELECTRIC VEHICLES SUPPLY CHAIN
| Autor: | prof. Ing. Karel Janda M.A., Dr., Ph.D. Oleg Alekseev David Zilberman Mathieu Petit M.Sc. |
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| Typ: | IES Working Papers |
| Rok: | 2023 |
| Číslo: | 21 |
| ISSN / ISBN: | |
| Publikováno v: | IES Working Papers 21/2023 |
| Místo vydání: | Praha |
| Klíčová slova: | EVs, volatility, jump intensity, jump size, ARJI, EGARCH-EARJI |
| JEL kódy: | C22, G14, L61, L62 |
| Citace: | Alekseev O., Janda K., Petit M., Zilberman D. (2023): " Impact of Raw Material Price Volatility on Returns in Electric Vehicles Supply Chain" IES Working Papers 21/2023. IES FSV. Charles University. |
| Abstrakt: | 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. |
| Ke stažení: | wp_2023_21_alekseev, janda, petit, zilberman.pdf |
