Measuring Industrial Linkages Based on Market Signals: A Study on the Synergy, Leading Role, and Policy Resonance between the New Energy Vehicle and Low-Altitude Economy Industry

This paper aims to empirically examine the dynamic correlation mechanism based on market signals between the two strategic emerging industries, namely the new energy vehicles (NEVs) and the low-altitude economy (LAE), from the perspective of the capital market. In response to the challenges of lagging and missing statistical data of emerging industrial entities, this study innovatively views the stock market indices as a “forward-looking signal” of industry dynamics, and constructs a four-step analytical framework of “long-term trend synergy, short-term fluctuation correlation, long-term equilibrium and causal leadership, and key event resonance”. Based on monthly data from January 2017 to December 2025, the study comprehensively uses methods such as cointegration tests, vector error correction models, and the Granger causality tests for analysis. The results show three main findings. Firstly, the long-term trends of the two industry indices are highly synchronous. Secondly, their short-term market returns show a significant positive correlation (r = 0.637). The cointegration test indicates that there is a long-term equilibrium relationship between the two. The Granger causality test further reveals a bidirectional prediction relationship: the impact of the LAE industry on the NEV industry is more significant (p < 0.05), and the NEV industry also has a predictive effect on the LAE industry (p < 0.1). Finally, these two industries show significant market resonance when facing common industrial policies. This study provides high-frequency evidence from the capital market for understanding the statistical co-movement between these two industries and provides methodological references for the study of the correlation of emerging industry linkages in the period of data scarcity.