When restricted to the S&P 500 we found an inverse relationship between the tendency to have substantial and prolonged % moves and market capitalization.
Intuitively this made sense to us as index members have already experienced the market cap growth necessary to get into the index.
Also, index members tend to offer transparency that is communicated in real time by an army of analysts and research reports.
Furthermore, their business models tend to be overly diversified relative to small/medium companies.
Additionally, there is typically millions of dollars bid and millions asked just cents away from the prevailing price at any given time.
It seems only an accounting scandal, speculative mania, or major market shock can provide the fuel for outlier moves. That being said, we don't discriminate against them; we are just happy that there are so many more small and mid-cap companies to buy.