Before revision:  Characteristic regimes , when changes of individual stock risks on average follow changes of the total market risk and vice versa , are observed near market crashes.
After revision:  We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when the volatility of an individual stock follows the market volatility and vice versa , are observed near market crashes.