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

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. •Time-varying jumps exist in the EV battery raw materials market.•Jumps are captured via a new parametric jump model, called EGARCH-EARJI.•Return spillovers exist between the lithium and Electric Vehicles markets.