Tests of the random walk hypothesis for London gold prices

The hypothesis that London gold prices follow a random walk is tested for three prices, those determined at the morning and afternoon fixings and the closing price, using the multiple variance ratio test. For the prices set in the twice-daily fixings, the random walk hypothesis is rejected because of autocorrelation in returns. However, the closing price, which is determined by additional information and involves many more participants in the market, follows a random walk.