A new study has found that folks in the top 0.1% tax bracket run for the exits fastest on the days when market volatility spikes (according to government data collected in 2008 and 2009). According to Bloomberg News, the idea behind the study was that different people react with varying degrees of urgency amidst signs of trouble, which can in turn feed market meltdowns.

So why do the rich bail more quickly? According to one author of the report, there are a few possibilities:

• Wealthy people have more at stake per person and are more sensitive to shocks;
• The rich believe they are better market timers;
• Investors who earn less are reluctant to sell at a loss

The study reported that a roughly 10% increase in volatility corresponded with a 3.3% increase in sales volume for the top 0.1% of earners. When volatility went up by 25%, proportionate selling by the rich rose almost 8%. The authors of the study concluded that this effect might have accounted for approximately $142 million of excess selling by upper echelon investors on the day of Lehman’s collapse alone, and $1.7 billion in the 10 days after what was then history’s biggest bankruptcy filing.

While the prevailing view of the market was that stock prices respond to news received by investors, the study found that large collections of individuals actually have different reactions to that news. One  author of the report said that documenting this kind of data will “allow us to paint a fuller picture of how stock markets actually work.”