A carregar...
Publicação
Exploring Correlations and Volatility Linkages between Lithium and Oil Markets
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 660.03 KB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
There is an urgent need for an energetic transition, and we are increasingly feeling this pressure from the world's population, and lithium is one of the elements necessary for that. There are indications that electric cars could be the future of the automotive industry, replacing cars powered by fossil fuels. To do this, we need to produce batteries with that precious element, lithium. This study analyses the correlations between five of the largest lithium mining companies based in the USA and China and WTI crude oil. In this paper we focus on the returns of the companies to study their correlations and on the volatilities to study their Volatility Spillovers. It’s known that lithium mining companies and crude oil are not strongly correlated, however they have a strong persistence in their correlation. WTI also doesn't have much influence when it comes to changing the prices of lithium companies, as it is much more self-correlated. Even in these unstable times when we have been through a pandemic and are currently going through a geopolitical conflict, there have been no significant changes in the correlations between these markets.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
Palavras-chave
Lithium Wti Crude Oil Correlation Volatility Spillovers Garch SDG 7 - Affordable and clean energy SDG 8 - Decent work and economic growth SDG 9 - Industry, innovation and infrastructure SDG 13 - Climate action