Informational efficiency of the Paris and London Gold Markets from 1948 to 2008

The rationality of investors and information dissemination are two important factors of the informational efficiency theory. Despite its differences, the gold markets are no exception to this general rule. Moreover, gold has experiences several strong price increases in 1974, 1979, 1980 or 2008 which challenge the validation of the informational efficiency theory. In this context, the objective of this paper is to test the weak-form informational efficiency of the Paris and London gold markets during a 61-year period from 1948 to 2008. The results of the Ljung-Box tests show that there are monthly autocorrelations in Napoleon coin (Paris) and gold ounce (London) returns.