  Stock market indices are one of the most investigated complex systems in
econophysics. Here we extend the existing literature on stock markets in
connection with nonextensive statistical mechanics. We explore the
nonextensivity of price volatilities for 34 major stock market indices between
2010 and 2019. We discover that stock markets follow nonextensive statistics
regarding equilibrium, relaxation and sensitivity. We find nonextensive
behavior in stock markets for developed countries, but not for developing
countries. Distances between nonextensive triplets suggest that some stock
markets might share similar nonextensive dynamics, while others are widely
different. The current findings strongly indicate that the stock market
represents a system whose physics is properly described by nonextensive
statistical mechanics. Our results shed light on the complex nature of stock
market indices, and establish another formal link with the nonextensive theory.
