Does China's new energy vehicles supply chain stock market have risk spillovers? Evidence from raw material price effect on lithium batteries

• Published in: Energy (Oxford) 2023-01, Vol.262, p.125420, Article 125420
• Main Authors: Shi, Yangyan, Feng, Yu, Zhang, Qi, Shuai, Jing, Niu, Jiangxin
• Format: Article
• Language: English
• Subjects: Carbon neautrality; China; DCC-GARCH; New energy vehicles (NEV); Risk management
• ISSN: 0360-5442
• DOI: 10.1016/j.energy.2022.125420

This study focuses primarily on the New Energy Vehicles (NEV) industry in China, which will lead to new resource challenges and supply chain risks, establishing a comprehensive supply chain pedigree of listed NEV firms in the China stock markets. The VAR model and DCC-GARCH model are used to analyse the risk spillover effect of NEV firms' stock markets, lithium battery suppliers' stock markets, and the raw materials’ spot markets. We analyse the potential risk spillover between supply chain members of three lithium battery firms from a micro-perspective. The findings of this study are that (1) there is a significant spillover effect between lithium battery stock prices and NEV stock prices; (2) the raw material price of lithium battery does not have considerable impact on lithium battery stock price and NEV stock price; and (3) taking CATL, BYD and GUOXUAN as examples, they basically have significant spillover effects with their related enterprises, and only a few enterprises have insignificant dynamic conditional coefficients. The key contribution of the research is a pilot study to analyse the multiple dimensional risk spillover effects on NEV firms in China from macro- and micro-levels, as well as the stock and spot markets. •Investigated how raw materials prices affect NEV industry from risk spillover angle.•Built a supply chain pedigree of NEV, centered on lithium battery enterprises.•Measured risk spillover of NEV stock and spot market.