| Summary: | Thesis (MBA)--Stellenbosch University, 2000. === ENGLISH ABSTRACT: Similar trading patterns, or so-called herding by institutional investors has interested
market participants and academics for some time. Recent international research has
established empirical evidence of this phenomenon. The context of this study is to
observe evidence of herding by institutional investors in the South African Unit Trust
Industry during the period December 1991 to September 1999. Furthermore, it
investigates possible relationships between institutional herding and other topics of
interest. These include risk profile of funds, market volatility, house view of management
companies, size of herd, returns on hypothetical portfolios and on individual shares.
Empirical results indicate evidence of herding over the period, albeit at a relatively small
level. The average count herding measure of 2,4% is similar to levels recorded in the
American Mutual Fund and Pension Fund Industries. A currency imbalance ratio is also
used to measure herding, and indicates average levels of herding of 8,3%. This
measure is deemed to reflect greater accuracy. as it measures actual currency
movements (size of positions) as opposed to number of funds active in a share. On
average, herding is present as often on the buy side as on the sell side of the market.
Intuition would suggest that as the size of a herd increases (number of funds taking
similar positions), the degree of herding increases. Evidence from this study
corroborates with an American study, indicating to the contrary. There is a statistically
significant negative relationship between the size of a herd and degree of herding. An
observation of herding measures relative to the risk profile of funds indicates the
presence of a statistically significant positive relationship. Highest levels of herding are
recorded in aggressive growth funds and lowest levels in income/growth funds. This
supports the rationale that aggressive growth funds, by nature of their investment
objective, follow high growth firms. Analysts possess less accurate information regarding
future earnings; hence the greater herding levels, for whatever reason. House views, imposed by individual management companies, may also lead to higher
herding levels. There is tentative evidence of the presence of this practice, particularly in
two of the seven companies observed. The relationship between herding and equity
market volatility indicates an interesting phenomenon. There is the presence of a strong
positive relationship between quarterly volatility estimates and levels of herding. This
relationship changes materially for volatility levels in excess of 9%, indicating the clear
presence of a structural breakpoint. For quarterly volatility estimates greater than 9%,
the relationship weakens substantially and the slope of the relationship flattens.
A quarterly time series of portfolio returns is calculated relative to levels of herding to
observe trading strategies practiced by fund managers. The findings indicate weak
evidence of funds following positive feedback trading strategies. Furthermore, funds
trade in past winners more often than in past losers, indicating the absence of window
dressing strategies. There is strong evidence of funds following profit taking strategies at
quarterly intervals. The absence of return reversals indicates the absence of over
reaction at quarterly intervals. === AFRIKAANSE OPSOMMING: Soortgelyke handelspatrone, of sogenaamde samedromming van institusionele
beleggers, is al geruime tyd vir markdeelnemers en akademici van belang. Onlangse
internasionale navorsing het empiriese bewys van hierdie fenomeen opgelewer. Hierdie
studie is daarop gefokus om bewyse van samedromming deur institisionele beleggers
waar te neem, binne konteks van die Suid Afrikaanse Effektetrustbedryf gedurende die
periode Desember 1991 tot September 1999. Daar word verder ondersoek ingestel na 'n
moontlike verhouding tussen institusionele samedromming en ander onderwerpe van
belang. Ingesluit hierby is die risikoprofiel van fondse, markonbestendigheid, 'house
view' van bestuursmaatkappye, grootte van die samedromming, opbrengste van
hipotetiese portefeuljes en individuele aandele.
Empiriese resultate dui aan dat bewyse van samedromming gedurende die relevante
periode wel bestaan, alhoewel dit op 'n relatiewe klein skaal plaasvind. Die gemiddelde
telling samedrommingsmaatstaf van 2,4% is soortgelyk aan die vlakke waargeneem in
die Amerikaanse Mutualfonds en Pensioenfondsbedrywe. 'n Geldeenheid
onewewigtigheidsverhouding word ook gebruik as maatstaf van samedromming en dui
'n gemiddelde samedrommingsvlak van 8,3% aan. Die laasgenoemde maatstaf word as
meer akkuraat beskou aangesien dit werklike geldeenheidbewegings (grootte van die
posisies) reflekteer, in teenstelling met die aantal fondse wat aktief betrokke is by 'n
spesifieke aandele. Samedromming is oor die algemeen ewe veel teenwoordig tydens
die koop en verkoop van aandele in die mark.
Intuïsie dui aan dat soos die grootte van die samedromming toeneem (aantal fondse wat
dieselfde posisie inneem), die intensietyd van samedromming ook toeneem. Bewyse
van hierdie studie bevestig die bevindinge van 'n Amerikaanse studie wat aandui dat die
teenoorgestelde waar is. Statisties gesproke is daar 'n wesenlike negatiewe verhouding
tussen die grootte en intensietyd van samedromming. 'n Waarneming van
samedrommingsmaatstawwe, relatief tot die risikoprofiel van fondse, dui die
teenwoordigheid van 'n statistiese wesenlike positiewe verhouding aan. Die hoogste
vlakke van samedromming word waargeneem by aggresiewe groeifondse en die laagste
vlakke by inkomste-/groeifondse. Hierdie bevinding staaf die gedagte dat aggresiewe groeifondse, as gevolg van die aard van hul beleggingsdoelwit, hoë groei maatskappye
volg. Ontleders beskik oor minder akkurate inligting ten opsigte van toekomstige
opbrengs en gevolglik is daar groter samedrommingsvlakke vir watter rede ookal.
'House views', soos voorgeskryf deur individuele bestuursmaatskappye, mag ook tot
hoër vlakke van samedromming lei. Voorlopige bewyse ten opsigte van die
teenwoordigheid van hierdie praktyk bestaan, veral in twee van die sewe maatskappye
waargeneem. Die verhouding tussen samedromming en aandelemarkonbestendigheid
reflekteer 'n interessante fenomeen. 'n Sterk positiewe verhouding is teenwoordig
tussen kwartaalikse onbestendigheidsskattings en vlakke van samedromming. Hierdie
verhouding verander wesenlik vir onbestendigheidsvlakke groter as 9%, wat die
teenwoordigheid van 'n strukturele breukpunt duidelik aantoon.
'n Kwartaallikse tydreeks van portefeulje-opbrengste word bereken relatief tot die vlak
van samedromming om handelstrategië, soos deur fondsbestuurders toegepas, waar te
neem. Bevindinge dui aan dat daar gebrekkige bewyse is van fondse wat positiewe
terugvoerstrategië volg. Daar is ook gevind dat fondse meer gereeld handel in gewese
wenners as in gewese verloorders wat 'n afwesigheid van uitstallingsstrategië aandui.
Daar is besliste bewyse van fondse wat winsbejagstrategië volg met kwartaalikse
tussenposes. Die afwesigheid van omgekeerde opbrengste dui die afwesigheid van
oorreaksie aan met kwartaalikse tussenposes.
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