Rare Earth Market, Electric Vehicles and Future Mobility Index: A Time-Frequency Analysis with Portfolio Implications
نویسندگان
چکیده
This study investigates the co-movements between Solactive Electric Vehicle and Future Mobility Index (EVFMI) multiple rare earth elements (REEs). We applied a TVP-VAR model bivariate wavelet coherence approach to capture both in time frequency domain considering short-, medium- long-term investment horizons. Using daily returns from 1 June 2012 4 2021, results of show that individual REEs EVFMI have strong return connectedness are heterogenous over time. The reveals Dysprosium, Neodymium, Praseodymium Terbium positive co-movement (in-phase) with medium-term long-term. In contrast, Cerium, Europium, Lanthanum Yttrium negative (out-phase) find MVIS Global Rare Earth/Strategic Metals (MVREMX) at scales. Following lead/lag relationship, Europium Lanthanum, leading EVFMI, Praseodymium, MVREMX lagging EVFMI. study, therefore, suggests hedging diversification properties Specifically, act as hedges horizons weak or diversifiers short-term These may be particular interest investors relevant policymakers
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ژورنال
عنوان ژورنال: Risks
سال: 2022
ISSN: ['2227-9091']
DOI: https://doi.org/10.3390/risks10070137