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The literature has well established methods for testing stock market herding over a decent time window.

Are there any ways that have appeared in the literature to test for stock market herding over a short time span (e.g. 5 days)?

Perhaps something a bit more than just applying the identical time series models to intraday data (I don't necessarily see anything wrong with this, but would like to know if there's dedicated research on this topic).

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I would imagine that over a short horizon you can't have decent information about the composition of others' portfolios. – John Oct 6 '12 at 5:11
Welcome to Quant.SE. You might consider registering as it may prompt some others to seek out an answer if they know you're a part of the community. – Louis Marascio Nov 18 '12 at 14:51

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