Stats › Volatility and VIX › Correlation in crashes
Correlation rises in bear markets, not in volatile ones
June 2010 was the European sovereign debt crisis, weeks after the flash crash. June 2026 was a calm market near highs. Source: Cboe COR3M history and quote data.
Stocks in one equity market move together more when the market falls than when it rises. US correlations on downside moves run 11.6% above what a normal distribution implies. The trigger is the market trend, not volatility, and diversification degrades rather than fails.
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