Before revision:  We apply the modified indices on the 30 U.S. stocks with the highest market capitalization over the period 2004-2011 to study intra-market spillovers. We provide evidence of sizable volatility-spillover asymmetries and a markedly different pattern of spillovers during periods of economic ups and downs .
After revision:  We apply the modified indices on the 30 U.S. stocks with the highest market capitalization over the period 2004-2011 to study intra-market connectedness of U.S. stocks increased substantially with the increased uncertainty of stock market participants during the financial crisis .