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Informational efficiency of the clandestine and official gold markets in Paris

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  • Gallais-Hamonno, Georges
  • Hoang, Thi-Hong-Van
  • Oosterlinck, Kim

Abstract

For gold, moving from clandestine to official trading does not significantly change informational efficiency. Both markets are inefficient suggesting that efficiency is linked more to the type of asset than to the legal status of the market.

Suggested Citation

  • Gallais-Hamonno, Georges & Hoang, Thi-Hong-Van & Oosterlinck, Kim, 2015. "Informational efficiency of the clandestine and official gold markets in Paris," Economics Letters, Elsevier, vol. 126(C), pages 28-30.
  • Handle: RePEc:eee:ecolet:v:126:y:2015:i:c:p:28-30
    DOI: 10.1016/j.econlet.2014.11.013
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    References listed on IDEAS

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    1. Booth, G. Geoffrey & Mustafa, Chowdhury, 1991. "Long-run dynamics of black and official exchange rates," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 392-405, September.
    2. Oosterlinck, Kim, 2010. "French Stock exchanges and regulation during World War II," Financial History Review, Cambridge University Press, vol. 17(02), pages 211-237, October.
    3. David, GĂ©raldine & Oosterlinck, Kim & Szafarz, Ariane, 2013. "Art market inefficiency," Economics Letters, Elsevier, vol. 121(1), pages 23-25.
    4. Tschoegl, Adrian E., 1980. "Efficiency in the gold market -- a note," Journal of Banking & Finance, Elsevier, vol. 4(4), pages 371-379, December.
    5. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    6. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    7. Goldman, Elena, 2000. "Testing efficient market hypothesis for the dollar-sterling gold standard exchange rate 1890-1906: MLE with double truncation," Economics Letters, Elsevier, vol. 69(3), pages 253-259, December.
    8. Gupta, Sanjeev, 1981. "A Note on the Efficiency of Black Markets in Foreign Currencies," Journal of Finance, American Finance Association, vol. 36(3), pages 705-710, June.
    9. Solt, Michael E & Swanson, Paul J, 1981. "On the Efficiency of the Markets for Gold and Silver," The Journal of Business, University of Chicago Press, vol. 54(3), pages 453-478, July.
    10. Occhino, Filippo & Oosterlinck, Kim & White, Eugene N., 2008. "How Much Can a Victor Force the Vanquished to Pay? France under the Nazi Boot," The Journal of Economic History, Cambridge University Press, vol. 68(01), pages 1-45, March.
    11. Huett, Hannes & Krapf, Matthias & Uysal, S. Derya, 2014. "Price dynamics in the Belarusian black market for foreign exchange," Journal of International Economics, Elsevier, vol. 94(1), pages 169-176.
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    Citations

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    Cited by:

    1. Georges Gallais-Hamonno & Thi-hong-van Hoang & Kim Oosterlinck, 2016. "Price Formation on Clandestine Markets: The Case of the Paris Gold Market during WWII," Working Papers CEB 16-048, ULB -- Universite Libre de Bruxelles.
    2. Hoang, Thi Hong Van & Lahiani, Amine & Heller, David, 2016. "Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach," Economic Modelling, Elsevier, vol. 54(C), pages 54-66.
    3. Hoang, Thi-Hong-Van & Wong, Wing-Keung & Zhu, Zhenzhen, 2015. "Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange," Economic Modelling, Elsevier, vol. 50(C), pages 200-211.
    4. Kim Oosterlinck & Jeremy Simon, 2015. "Financial Repression and Bond Market Efficiency: the Case of Italy during World War II," Working Papers CEB 15-001, ULB -- Universite Libre de Bruxelles.

    More about this item

    Keywords

    Efficient market hypothesis; Paris clandestine gold market; World War II;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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