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The link between stock prices and investor trading,
especially retail investor trading, is at once both
obvious and perplexing. Which is the cause, which
the effect and who or what do we blame when stock
market prices go wrong? Most theories of stock price
anomalies rely on investor error, and many assume
that retail investors are the source of the error.
In this monograph, we explore this assumption. We
consider the effect of investor category demand
imbalance on prices across the entire stock market.
We then focus on demand imbalance as a predictor of
stock price bubble crashes. Finally, we consider
the cause and effect of investor category demand
imbalances on stock prices as they display the
dramatic price increases and falls that characterize
a bubble. This monograph is required reading for
anyone tempted to rely on individual investor
decision making for an explanation of stock market
prices.

A Behavioral Finance Perspective on Trade Imbalance and Stock Prices: Evidence from Australian Clearinghouse Data