Table 2.13: Significance after correction for dependence: a bootstrap based approach.
Panel A: Bootstrap results under the null of a random walk, autoregressive, exponential garch model and a model which incorporates the structural change in the data for the LIFFE cocoa futures series in the period 1983:1-1987:12. The table lists the fractions of simulation results which are larger than the results for the original data series. The rows tPerf>tc, tBuy>tc, tSell<-tc, tBuy-Sell>tc and tBuy>tc ∧ tSell<-tc show the fraction of the 500 bootstrapped time series for which the percentage of trading strategies with a significantly positive mean excess return, with a significantly positive mean buy return, with a significantly negative mean sell return, with a significantly positive mean buy-sell difference and with a significantly positive mean buy as well as a significantly negative mean sell return is larger than the same percentages when the trading strategies are applied to the original data series.
| |
RW |
AR |
EGARCH |
Trend |
| tPerf>tc |
0.002 |
0.038 |
0.03 |
0.414 |
| tBuy>tc |
0.032 |
0.074 |
0.05 |
0.478 |
| tSell<-tc |
0.14 |
0.274 |
0.334 |
0.528 |
| tBuy-Sell>tc |
0 |
0.012 |
0.002 |
0.248 |
| tBuy>tc ∧ tSell<-tc |
0.006 |
0.016 |
0.012 |
0.426 |
Panel B: Bootstrap results under the null of a random walk, autoregressive, exponential garch model and a model which incorporates the structural change in the data for the LIFFE cocoa futures series in the period 1983:1-1987:12. The table lists the fractions of simulation results which are larger than the results for the original data series. The rows tPerf<-tc, tBuy<-tc, tSell>tc, tBuy-Sell<-tc and tBuy<-tc ∧ tSell>tc show the fraction of the 500 bootstrapped time series for which the percentage of trading strategies with a significantly negative mean excess return, with a significantly negative mean buy return, with a significantly positive mean sell return, with a significantly negative mean buy-sell difference and with a significantly negative mean buy as well as a significantly positive mean sell return is larger than the same percentages when the trading strategies are applied to the original data series.
| |
RW |
AR |
EGARCH |
Trend |
| tPerf<-tc |
0.964 |
0.936 |
0.942 |
0.96 |
| tBuy<-tc |
0.87 |
0.838 |
0.902 |
0.858 |
| tSell>tc |
0.572 |
0.502 |
0.428 |
0.776 |
| tBuy-Sell<-tc |
0.968 |
0.95 |
0.942 |
0.952 |
| tBuy<-tc ∧ tSell>tc |
0.342 |
0.274 |
0.278 |
0.542 |
85