The famous gem scam

You will not get any refund, this scam is well known, and highlighted every where in internet and even in website of embassy of many countries, even with a receipt the fake stone is not marked and they can denied having selling it to you, reporting to the police will not turn in your favour, as many people are involved in this scam in Thailand ( sometimes corrupted high level people, it is gang well organized ), and all get their commission including tuk tuk or taxi driver, all the money is dispatched...

What US embassy say :

Gems Scam

A costly scam that tourists fall victim to is the gems scam. Retailers claim that travelers can purchase wholesale luxury items, most often gems, and resell them for a large profit back home. In reality theses “gems” are likely made from glass or synthetic materials and are essentially worthless. Be cautious of persistent tuk-tuk, taxi, and bus drivers who offer to bring you directly to such stores, as they are often commissioned by these dealers. The drivers will lure in customers from tourist attractions, often claiming they know of a special, “one-day government sponsored sale”. Travelers should note that neither the Thai government nor the Thai royal family own, operate, or sponsor any jewelry or gem shops, so such claims should be ignored.   

If you are interested in purchasing gems, jewels, or fine jewelry while in Thailand, be sure to get referrals for legitimate retailers from reputable sources or trusted friends/family. While scams do exist, there are many trustworthy dealers who can assist you in purchasing legitimate goods.
   
If you discover you have fallen for this scam while still in Thailand you should seek to file a formal report with the Thai police and have it translated into English. You may want to contact a Thai attorney depending on the amount of money lost. If you used a credit card for the purchase, immediately notify your credit card company to learn if you may dispute those charges or stop payment.

Source : http://bangkok.usembassy.gov/common_scams.html#gem_scam