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Conditional Herding and Divergence in Hedge Fund and Mutual Fund VIP Portfolios: Evidence from the US and Asia
Thesis (MCom)--Stellenbosch University, 2026.
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| Format: | Thesis |
| Language: | English |
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Stellenbosch : Stellenbosch University
2026
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| _version_ | 1867614136370724864 |
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| access_status_str | Open Access |
| author | Beattie, Liam Andrew |
| author2 | Lamont, Mike |
| author_browse | Beattie, Liam Andrew Lamont, Mike |
| author_facet | Lamont, Mike Beattie, Liam Andrew |
| author_sort | Beattie, Liam Andrew |
| collection | Thesis |
| dc_rights_str_mv | Stellenbosch University |
| description | Thesis (MCom)--Stellenbosch University, 2026. |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/135610 |
| institution | Stellenbosch University (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:47:14.760Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2026 |
| publishDateRange | 2026 |
| publishDateSort | 2026 |
| publisher | Stellenbosch : Stellenbosch University |
| publisherStr | Stellenbosch : Stellenbosch University |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/135610 Conditional Herding and Divergence in Hedge Fund and Mutual Fund VIP Portfolios: Evidence from the US and Asia Beattie, Liam Andrew Lamont, Mike Stellenbosch University. Faculty of Economic and Management Sciences. Dept. of Economics. Thesis (MCom)--Stellenbosch University, 2026. Beattie, L. A. 2026. Conditional Herding and Divergence in Hedge Fund and Mutual Fund VIP Portfolios: Evidence from the US and Asia. Unpublished masters thesis. Stellenbosch: Stellenbosch University [online]. Available: https://scholar.sun.ac.za/items/faa2080a-9667-4b79-b3f5-3689b1a00cb7 This study examines whether institutional herding is a universal feature of financial markets or a conditional, context-specific behaviour. By integrating holdings-based and return-based methodologies, it develops a novel hybrid framework that applies high-frequency return-dispersion tests to portfolios derived from Goldman Sachs’s Very-Important-Positions (VIP) indices. Using daily data from 2015 to 2025, the analysis compares the behaviour of U.S. hedge fund holdings (GSTHHVIP) with Asian mutual fund holdings (GSSZAVIP). The framework regresses the absolute deviation between VIP and benchmark returns on orthogonal polynomial transformations of market returns, complemented by subsample, regime, and quantile regressions to capture conditional dynamics. The results reveal that herding emerges selectively under stress; U.S. hedge funds display significant, crisis-driven herding in down markets and during the COVID-19 period, consistent with reputational and defensive motives, whereas Asian mutual funds exhibit persistent anti-herding, with deviations widening during large market moves. This hybrid framework improves upon existing methods by offering a more computationally efficient and less data-intensive test for conditional herding, directly linking institutional crowding to its price impact. Practically, it provides a tractable tool for regulators and risk managers to monitor herd behaviour as a potential signal of systemic stress. These findings reflect that institutional crowding is regime-dependent, shaped by market structure and investor incentives, and that understanding herding requires recognising its conditional, context-specific nature rather than treating it as a uniform market trait. Masters 2026-04-02T09:04:49Z 2026-04-02T09:04:49Z 2026-03 Thesis https://scholar.sun.ac.za/handle/10019.1/135610 en Stellenbosch University 64 pages application/pdf Stellenbosch : Stellenbosch University |
| spellingShingle | Beattie, Liam Andrew Conditional Herding and Divergence in Hedge Fund and Mutual Fund VIP Portfolios: Evidence from the US and Asia |
| title | Conditional Herding and Divergence in Hedge Fund and Mutual Fund VIP Portfolios: Evidence from the US and Asia |
| title_full | Conditional Herding and Divergence in Hedge Fund and Mutual Fund VIP Portfolios: Evidence from the US and Asia |
| title_fullStr | Conditional Herding and Divergence in Hedge Fund and Mutual Fund VIP Portfolios: Evidence from the US and Asia |
| title_full_unstemmed | Conditional Herding and Divergence in Hedge Fund and Mutual Fund VIP Portfolios: Evidence from the US and Asia |
| title_short | Conditional Herding and Divergence in Hedge Fund and Mutual Fund VIP Portfolios: Evidence from the US and Asia |
| title_sort | conditional herding and divergence in hedge fund and mutual fund vip portfolios evidence from the us and asia |
| url | https://scholar.sun.ac.za/handle/10019.1/135610 |
| work_keys_str_mv | AT beattieliamandrew conditionalherdinganddivergenceinhedgefundandmutualfundvipportfoliosevidencefromtheusandasia |