1. School of Economics and Finance, Royal Melbourne institute of Technology, GPO Box 2476V, Melbourne, Victoria 3001, Australia. The authors would like to thank Ms Bev Atkins at the Minerals Council of Australia for help in locating world gold supply figures, and two anonymous referees, Garry Hobbes and seminar participants at Macquarie University, University of Lancaster, Jonkoping International Business School and the 1999 Southern African Finance Association conference for their helpful comments on an...