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

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.

The impact of macroeconomic variables on socio-economic indicators of agricultural section based on government development programs

“…An ARDL model has many applications in areas where the sample size is small and the number of descriptive variables of the model is high and has more efficient results than the cointegration analysis (Pesaran and Shin, 1999). Other methods such as Johansson method (Yaya et al, 2021); require the same degree of accumulation of variables, and if only one of the variables remains with a differential degree, the first-order difference of all variables (even variables that are at the stable level must be first-order to be used. This causes a large amount of information to be lost that contains stable variables, but the ARDL method can be used for variables with different degrees of accumulation.…”

Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses

“…Both gold and silver are known to move in tandem since silver is the closest substitute to gold and both assets serve similar functions. This is the reason for the long-run equilibrium relationship as a result of the cointegration between the two (Yaya et al, 2021). In that case, the transmission of shocks between them is of short-run effect.…”

“…The increase in auto-industrial use of precious metals has also created substantial substitution options between platinum and palladium which have led to close par in prices of these two metals. Gold and silver are generally demanded for jewelry, and are traded as investment assets while silver has little industrial use and is more commoditydriven than gold (Yaya, Vo, and Olayinka, 2021;Yaya, Lukman, and Vo, 2022a).…”

Persistence and volatility spillovers of bitcoin price to gold and silver prices

“…It is important to state that instrument like gold possesses high transaction volume and significant cash flow in the global market. Gold is one of the top-most marketed products worldwide and serves as a wealth storage tool, especially during economic and political instability (Aggarwal and Lucey, 2007;Batten et al, 2010;Lucey et al, 2013;Yaya et al 2016;Gil-Alana et al, 2017;Yaya et al, 2021a). Historically, the function of gold and silver are very similar, and a long-run relationship exists between the two metals (Wahab et al, 1994;Ciner et al 2013;Gokmenoglu and Fazlollahi, 2015;Pierdzioch et al, 2015;Auer, 2016;Pierdzioch et al, 2016;Zhu et al, 2016;Schweikert, 2018).…”

“…Historically, the function of gold and silver are very similar, and a long-run relationship exists between the two metals (Wahab et al, 1994;Ciner et al 2013;Gokmenoglu and Fazlollahi, 2015;Pierdzioch et al, 2015;Auer, 2016;Pierdzioch et al, 2016;Zhu et al, 2016;Schweikert, 2018). Both gold and silver are used for jewellery, and are often traded as investment assets, even though silver possesses little industrial usage but it is more commodity-driven than gold (Yaya, Vo and Olayinka, 2021).…”