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.
After revision:  We apply the modified indices on the 30 U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks. We universally reject the hypothesis of symmetric connectedness at the disaggregate level but in contrast, we document the symmetric transmission of information in an aggregated portfolio. We show that bad and good volatility is transmitted at different magnitudes in different sectors, and the asymmetries sizably change over time. While negative spillovers are often of substantial magnitudes, they do not strictly dominate positive spillovers. We find that the overall intra-market spillovers.