Description:
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.