  Based on the tick-by-tick stock prices from the German and American stock
markets, we study the statistical properties of the distribution of the
individual stocks and the index returns in highly collective and noisy
intervals of trading, separately. We show that periods characterized by the
strong inter-stock couplings can be associated with the distributions of index
fluctuations which reveal more pronounced tails than in the case of weaker
couplings in the market. During periods of strong correlations in the German
market these distributions can even reveal an apparent L\'evy-stable component.
