Herd Behaviour and Trading Among Dutch Pension Funds

36 Pages Posted: 24 Aug 2010 Last revised: 17 Aug 2017

See all articles by Iman van Lelyveld

Iman van Lelyveld

De Nederlandsche Bank; VU University Amsterdam

Willem F. C. Verschoor

Vrije Universiteit Amsterdam, School of Business and Economics; Tinbergen Institute

Ghulame Rubbaniy

Zayed University - College of Business; University of the West of England

Date Written: September 20, 2011

Abstract

In this paper we provide evidence that repudiates the popular belief that Dutch pension funds are long-term passive institutional traders; rather like active traders they trade about eight and half percent of their portfolio on monthly basis. Using a unique data sample, our results affirm significant feedback trading strategies, both momentum and contrarian, and robust herding behaviour in investments of Dutch PFs. Our findings contradict with some previous evidence and advance the suggestions that both the institutional lagged demand for a stock and performance triggers contrarian investments in Dutch PFs; and their trading behaviour substantially varies across asset classes. Furthermore, the recent financial turmoil has a positive impact on both turnover and herding while it negatively affects the feedback trading.

Keywords: Feedback strategies, herding, institutional investors.

JEL Classification: F3, G12

Suggested Citation

van Lelyveld, Iman and Verschoor, Willem F. C. and Rubbaniy, Ghulame, Herd Behaviour and Trading Among Dutch Pension Funds (September 20, 2011). Available at SSRN: https://ssrn.com/abstract=1662540 or http://dx.doi.org/10.2139/ssrn.1662540

Iman Van Lelyveld

De Nederlandsche Bank ( email )

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

VU University Amsterdam ( email )

Netherlands

Willem F. C. Verschoor

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081 HV
Netherlands

Tinbergen Institute ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

Ghulame Rubbaniy (Contact Author)

Zayed University - College of Business ( email )

Zayed University
P.O. Box 144534
Abu Dhabi
United Arab Emirates

University of the West of England ( email )

Frenchay Campus
Bristol, BS16 1QY
United Kingdom
07770591583 (Phone)
BS16 1QY (Fax)

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