Craig Pirrong, the Streetwise Professor, believes cocoa prices are fixed. Why does he believe this? The data, of course.
Here’s the scoop:
The basic result is that the July, 2010 price rose about 6 percent more than one would have predicted, given the movements in the September, November, and July ICE prices… This rise in the relative price of July cocoa is exactly what you would expect to observe during a corner, and given the typical co-movements of all these prices, are highly unlikely to have occurred by chance in a competitive market.
If you read his post, which I recommend you do, you can see he developed a fairly straightforward methodology for inferring some sort of market manipulation in an earlier paper on soybeans.
Of course, I learned about price fixing from the frozen orange juice pits in Trading Places.