Dynamic spillover of upstream primary metals and by-product metals market and its impact from the downstream new energy vehicles market

The anticipated continued growth of the new energy vehicle market has raised concerns regarding the stable supply of its critical raw materials. This article combines Diebold and Yilmaz's spillover index and wavelet analysis to explore the dynamic relationship between copper and its by-product metals cobalt and nickel in the upstream raw material metal market of the new energy vehicles market (NEVs). In addition, the non-parametric quantile causality method was used to study the impact of the spillover effects from the downstream new energy vehicle market to the upstream raw material market . It would provide important insight into investors' strategies or policy adjustments in advance. Results from the empirical study demonstrate that spillover effects among the copper, cobalt, and nickel markets exhibit time-dependent fluctuations. The copper market is the predominant contributor to risk in the other two markets. While the cobalt market contributes minimally. Both copper and nickel serve as net contributors of shocks to the other markets, whereas cobalt primarily receives shocks. The copper and nickel markets exhibit a high degree of correlation across all time scales, yet cobalt shows correlation with copper and nickel predominantly on a long-term scale. Through wavelet coherence analysis, it is revealed that significant coherence and co-movement among the three markets are predominantly observed at long-term scales. Regarding the copper-nickel market dynamics, the copper market occupied a lagging position prior to 2015 but transitioned to a leading role post-2015. At a long-term scales, the copper-cobalt market consistently exhibits parallel movements, with the copper market taking a dominant stance. Conversely, within a short-term scales, the copper and cobalt market displayed inverse movements, with the copper market trailing particularly from 2017 to 2019. From 2006 to 2019, the nickel-cobalt market demonstrated consistent directional alignment, with the nickel market asserting a leading role. Furthermore, this article investigated the effect of the new energy vehicle (NEVs) market on the spillover effects of the copper, cobalt and nickel market, based on data spanning 2014-2021, employing Granger causality tests and the nonparametric causality-in-quantiles approach. The spillover effects between copper-nickel, nickel-copper, copper-cobalt, and nickel-cobalt are linearly associated with NEVs dynamics. The NEVs exhibits a non-linear association with the cobalt-copper spillover.