Appendix

A. Tables

Table Page
2.1 Summary statistics for daily returns 76
2.2 Autocorrelation functions of daily returns 77
2.3 Results of the best strategies applied to the CSCE cocoa futures prices 78
2.4 Results of the best strategies applied to the LIFFE cocoa futures prices 79
2.5 Results of the best strategies applied to the Pound-Dollar exchange rate 80
2.6 Excess returns without transaction costs 81
2.7 Excess returns with 0.1% transaction costs 81
2.8 Significance: simple t-ratios 82
2.9 Bad significance: simple t-ratios 83
2.10 Coefficient estimates EGARCH-model 58
2.11 Significance after correction for dependence: an estimation based approach 84
2.12 Coefficient estimates structural break in trend model 63
2.13 Significance after correction for dependence: a bootstrap based approach 85
2.14 Cross-correlations 86
2.15 Excess returns when LIFFE in Dollars and CSCE in Pounds 86
2.16 Significance when LIFFE in Dollars and CSCE in Pounds: simple t-ratios 87
2.17 Bad significance when LIFFE in Dollars and CSCE in Pounds: simple t-ratios 88

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