Automobile Industry in the Long-term Uncertain Market: an Empirical Analysis

Abstract

The automobile industry has been largely affected since the outbreak of the Russo-Ukrainian War, which is reflected by the crude oil price. In order to see the long-term effect of the oil price fluctuation on the auto industry, this paper analyzes changes in oil price and the rates of return of the automobile industry and new power automobile industry in specific. This research builds a VAR model and an ARMA-GARCH model to analyze the relationship between the stock price of automobile industry and the crude oil price from June 2021 to July 2022. Finally, the paper finds that rising oil prices have a negative net impact on the returns of the entire auto industry, but a positive impact on the returns of the new energy vehicle industry, and changes in oil prices have a positive impact on the volatility of the entire auto industry but no significant impact on the volatility of the new energy vehicle industry.