I agree with the general consensus that Cole knew Malcolm was dead the whole time, but if that is true, why would he tell Malcolm not to tell his secret to anybody? If Malcolm was dead, how could he have told his secret to somebody else?
He did know Malcolm was a ghost the whole time. He tells him not to tell his secret for two reasons.
1. Cole wants to pretend Malcolm is alive so he talks to him as though he were a live person.
2. He doesn't want Malcolm to know that he is a ghost. He wants Malcolm to go on behaving like an alive person.
Cole cherishes his relationship with Malcolm and tries to make it as "real" as he can. This "pretending" stuff is re-enacted in their final scene together where Cole asks if they can pretend they will see each other tomorrow, even though they both know they have had their last meeting.
Plus the church scene, when Malcolm asks Cole to confront the ghosts he says "what if they want to hurt me?" I don't know if he would've asked that had he suspected Malcolm was one himself.
This is an indirect way for Cole to ask Malcolm if HE plans to hurt Cole. Cole already knows that "dead people" "don't know they are dead". So he talks to Malcolm as though he were alive, which is how all ghosts see themselves and want to be talked to.
He gave Malcolm the big speech about how his drawings caused his mother to cry, so he doesn't draw like that anymore. He knows telling people means hurting his mom and alienating himself from society.
Correct. But telling a ghost he/she is dead is just as alienating and insulting. Ghosts don't WANT to know that about themselves. Cole must have learned this from experience from many angry ghosts. He eventually learned to never tell them they are dead. They get mad.
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