The market's flock-like behavior is one more reflection of the growing influence of investors using broad-based strategies to buy and sell large blocks of stocks.

"It is an indexing market and not a market for stocks. On good days everything goes up, and on bad days everything goes down. Everyone talks about baskets or sectors," says Jeffrey Yale Rubin, research director at Birinyi Associates. "It is harder for individual investors and even for mutual-fund managers to distinguish themselves by doing individual stock picks. They might get the product right and the earnings right, but the market goes down and the stock is going to go down as well."

Every day, Birinyi measures the 50-day average correlation between the direction of the S&P 500 and that of its member stocks. In this case, correlation is a measure of the degree to which one stock tracks the movement of the index. A correlation of 50% means half the index's component stocks are moving in the same direction as the index. A perfect correlation would be 100%, with all stocks tracking the index. The average correlation since 1980 has been 44%. This particular methodology doesn't allow for a negative correlation or a correlation of zero, since at least some component stocks must move in the same direction as the index. Some stocks almost always move in a different direction than the index. The average of their moves, usually weighted for each stock's total market value, equals the index's return.

Earlier this year, when stocks were on the mend and investors were less anxious, the correlation between the S&P 500 and its stocks fell below 50%, suggesting investors were looking for individual stocks to own rather than just buying large indexes.

But by mid-June, the correlation had jumped back above 70%, as investors stopped looking for winners and just sold broadly. Last week it surpassed its 2008 high of 79% and hit 81%, the highest level since the 1987 crash, when it touched 83% for one day. That means that on most days recently, the great majority of stocks in the S&P 500 were moving in the same direction, up or down.

Correlation typically goes up during volatile periods, reflecting investors' tendency to dump stocks wholesale rather than try to pick out stocks that once were viewed as refuges, such as those that pay dividends.

Many money managers have been moving to entirely different asset classes, such as bonds or cash, says Jack Ablin, chief investment officer at Harris Private Bank, which oversees $57 billion in Chicago. Early last month, his firm shifted hundreds of millions of dollars out of stocks and other risky assets, such as commodities, and into Treasurys and high-grade corporate bonds. "We have cut back on stocks altogether," Mr. Ablin says. In a typical customer account that might normally have 55% of its money in risky assets such as stocks and 45% in bonds, Mr. Ablin has flipped the ratio. Stocks have gone to 45%, the lowest allowed under Harris's guidelines, and bonds have risen to 55%. "The easiest thing for us to do is lower our risk" rather than try to pick and choose among stocks, Mr. Ablin explains. "I think we are going to stay with a higher bond allocation than usual for a while. We just think that the market warrants a higher degree of vigilance."

The tendency of stocks to rise and fall together may help explain why some conservative, dividend-paying stocks have been turning in disappointing results lately, while some riskier stocks, such as computer-chip makers, are holding up better than expected.

"One of the strategies we run is very defensive and it has not done well in May and June of this year," says Janna Sampson, co-chief investment officer at OakBrook Investments, which oversees $2.1 billion in Lisle, Ill.

Dividend payers in the S&P 500 are down about 11% since that index's April 23 peak—about the same decline as stocks that don't pay dividends, according to research done for The Wall Street Journal by Birinyi Associates. None of the S&P 500's 10 sectors, even the most defensive, shows a gain since the April peak.

Among the few investments showing gains since April 23 are Treasury bonds, investment-grade corporate bonds and gold.

"Stocks aren't moving because of the sector they are in, but because the overall market is down" since late April, Mr. Rubin says.

Exchange-traded funds, high-tech trading strategies and quick shifts to cash permit investors to react quickly to market moves without analyzing individual stocks, but they also mean professional investors have less need to use traditional defensive stocks as havens.

Ms. Sampson of OakBrook has been especially surprised at the weak performance of stocks like Microsoft, which hasn't been behaving as the big, solid, dividend-paying blue-chip to which many investors normally would turn. Since April, Microsoft has fallen harder than the overall market. Its stock price, as a multiple of its earnings, has been below that of the broad market, something that has rarely been the case in Microsoft's history. Microsoft, of course, has suffered recently from adverse comparisons with Apple, and its status as a blue-chip hasn't offset that.

Another problem for dividend payers is that the group includes some of the market's most volatile stocks, such as financial and industrial shares. Dividend payers in more stable groups, including telecommunications and utility stocks, have held up better, but those groups still are down.

Some analysts believe stock prices could remain sluggish for some time. In that case, they say, investors should buy dividend-paying stocks in hopes that dividends will enhance weak price performance. So far, however, investors don't seem to be heeding that advice much.

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