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Yes, copper is more conductive than lead, but that is not necessarily the primary criterion for selecting the connector material.
For car batteries, making sure there's a good connection between the two pieces of metal (the stud on the battery and the connector on the wire) is more important, and lead wins out here because it is so much more malleable (soft) and adapts itself more readily to any mismatch between the shapes of the individual pieces.
A second reason the battery stud is made of lead is that lead is the primary component of all the metal parts of the battery, and there's no compelling reason to use anything else.
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