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.

本文通过采用更新的分数协整框架，即分数协整向量自回归（FCVAR），研究了每日价格，股票和黄金和白银的恐惧量表之间的长期关系。初始单位根测试结果表明，该序列在所有情况下均为d值约为1的I（d），并且在成对的协整序列中是同质的。在三对货币对（价格，股票和市场指标指数）中发现了协整的证据，而在商品的市场指标指数的情况下，这些协整只是随时间变化的。黄金和白银的价格和存量中存在协整这一事实表明，黄金和白银的价格和存量可以互换用于获取商品市场的表现的可能性，