Gold and Silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach

Olaoluwa Yaya, Xuan Vinh Vo and Hammed Abiola Olayinka

MPRA Paper from University Library of Munich, Germany

Abstract: The present paper investigates the long-run relationships between daily prices, stocks and fear gauges of gold and silver by employing an updated fractional cointegrating framework, that is, the Fractional Cointegrating Vector Autoregression (FCVAR). The initial unit root tests results indicate that the series are I(d)s with values of d around 1 in all cases, and these are homogenous in the paired cointegrating series. Evidence of cointegration is found in the three pairs (prices, stocks and market gauge indices), while these cointegrations are only time-varying in the case of market gauge indices for the commodities. The fact that cointegration exists in prices and stocks of gold and silver implies the possibility that gold and silver prices and stocks can interchangeably be used to access the performances of the commodity markets, with the recommendation that the two commodities are not to be traded in the same portfolio.

Keywords: Fractional cointegration; FCVAR; Gold; Silver; Mean reversion; Market fear gauges (search for similar items in EconPapers)
JEL-codes: C22 C32 (search for similar items in EconPapers)
Date: 2021-05-06
New Economics Papers: this item is included in nep-cwa, nep-ets and nep-isf
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Gold and silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:109830

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