Purpose -The purpose of this research is to consider whether market wide herding occurs intraday. Design/methodology/approach -Using the 1995 Christie and Huang and the 2000 Chang et al. models, the paper tests whether market wide and industry sector herding occurs intraday in the Australian equities market. Findings -Neither market wide nor industry sector herding occurs intraday. Research limitations/implications -Both herding measures focus on one specific type of herding, herding evidenced by changes in the cross-sectional return distribution. Therefore the herding measures are ill suited to capture the effects of period specific abnormally high or low market returns and they can also capture herding of market participants or groups of market participants only in as far as it manifests itself in security specific returns. Originality/value -No previous studies have considered the possibility of intraday herding in equities markets. Even if there is little evidence of herding over longer time periods, market frictions and inefficiencies continue to be exploited at least anecdotally by traders with very short time horizons to the detriment of longer term investors.

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We address the question of whether the trading of retail investors causes stock price anomalies. Our intent is to study settings in which retail investors are most likely to have influence on market prices. Previous research suggests that retail investors have more influence in small capitalization stocks, and argues that retail investors are most likely to be irrational. Most theories of stock price anomalies hypothesize the presence of irrational traders. Consequently, we focus on stock price anomalies in primarily small capitalization stocks. Our data are from the Australian Stock Exchange Clearinghouse. The Australian stock market is characterized by a high level of direct stock holdings by individual investors, further enhancing the likelihood of retail investors' influence. We investigate the Granger causality between investor category trading and stock prices, and display the relative trading volume of the investor categories. We conclude that retail investors are not responsible for stock mispricing. Since retail investors do not affect prices in this carefully selected environment, we infer that their trading is unlikely to influence stock market prices. Our conclusion has important implications for theories, particularly behavioral finance theories, that are dependent on the influence of retail investor trading in stock markets.retail investor, individual investor, asset pricing, behavioral finance,

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Trading is the mechanism of the economist's 'invisible hand,' the means by which price discovery occurs. We use daily shareholdings data from the Australian equities clearinghouse to investigate the impact of the trading imbalances of investor categories on stock returns. Our evidence does not contradict the behavioral finance assumption that the trading of individual investors contributes to price discovery. Furthermore, we find that, while the trading of all investor categories Granger-causes returns, returns Grangercause trading only for the individual investor category. That is, in the short term of up to 1 month, only individual investors engage in feedback trading.