Does the crude oil return matter for the new energy vehicle-related industry markets? — A comparison of complete vehicles, energy systems, and raw materials

This study aims to explore the connectedness and directional predictability between the crude oil market and the new energy vehicle (NEV) -related industries, providing insights for market risk management and portfolio adjustment. Using the daily data from March 31, 2015, to September 15, 2023, we employ the extended joint connectedness and cross-quantilogram methods to analyze the connections between crude oil and NEV-related industry. To comprehensively compare the spillover effects of crude oil across various markets, our study mainly focuses on three key markets: complete vehicles, energy systems, and raw materials. Our results indicate that: (i) There is a strong risk spillover effect between the crude oil market and the NEV-related industry markets, along with the dominant position of the energy system throughout the entire spillover network. (ii) The cross-quantilogram analysis suggest that crude oil exhibits strong directional predictability in extreme market conditions for the energy system markets, but only in the short term. (iii) The complete vehicle market can bring diversified benefits to the crude oil. For the raw material markets, we find that nickel and cobalt can serve as good assets for hedging the crude oil. (iv) The Russia-Ukraine conflict intensifies the spillover effects across the complete vehicle and energy system markets, while exerting relatively minor impacts on the raw materials market, and it is likely to influence both the direction and magnitude of the predictability of crude oil in relation to NEV-related industry markets. These results provide valuable references for investors and policymakers committed to green transportation transformation in terms of portfolio and risk management strategies.