Is the word "what" a conjunction ...?
NOT A TEACHER
Hello, Zoli:
According to my books, the answer is "No."
Most secondary school-level grammar books call it an
indefinite relative pronoun.
1. It is a pronoun
2. It refers to another word called an antecedent.
3. But there is no antecedent that we can see, so the word "indefinite" is used.
In other words, those books tell us that "what" in your kind of sentence = "that which."
If you accept this analysis, then your sentence is the same as:
" I did exactly
that which you said."
a. "That" is the object of "did."
b. "which you said" is an adjective clause that modifies "that."
House and Harman,
Descriptive English Grammar (1931, 1950), pages 357- 359.
P.S. As Tarheel told us, some books simply explain that "what you said" is a noun clause introduced by the indefinite relative pronoun "what" (which is the object of the verb "said"). Pence and Emery,
A Grammar of Every-Day English (1947 and 1963), page 162.