You are correct and this effect is increasing over time. More and more investment is being done on baskets of stocks as these investments became accessible thro

You are correct and this effect is increasing over time. More and more investment is being done on baskets of stocks as these investments became accessible through ETFs and traditional managers were not able to beat the "dumb" indices (there's nothing really dumb about them). Sure, there are funds like the Vision Fund or boutique stat arb funds who still trade individual names, but these are absolutely dwarfed by the size of investments into entire baskets/etfs. The companies in S&P 500 see more liquidity that the entire rest of the US equities combined. And inside that 500, the top 50 again sees more trading than the entire 450 rest combined. So what happens when the market sells off? Everything becomes correlated. All the idiosyncratic effects are overpowered by the overall selling pressure. There'll be companies hit more than others, but there'll be very few (basically none) big names that will weather the storm completely unscathed. This is the effect of being included in the top 1000-2000 companies in the US. The moment your company gets there, you have to accept that in a crash, your stock will do the same as everything else. This behavior also ties back to a broader effect in financial markets, namely that in a market stress, correlations spike. All stocks fall, bonds tend to appreciate (hence stocks and bonds become negatively correlated), by definition, volatility goes up everywhere.