Conditioning on a Volatility Proxy Compresses the Apparent Timescale of Collective Market Correlation

We address the attribution problem for apparent slow collective dynamics: is the observed persistence intrinsic, or inherited from a persistent driver? For the leading eigenvalue fraction $\psi_1=\lambda_{\max}/N$ of S\&P 500 60-day rolling correlation matrices ($237$ stocks, 2004--2023), a VIX-coupled Ornstein--Uhlenbeck model reduces the effective relaxation time from $298$ to $61$ trading days and improves the fit over bare mean reversion by $\Delta$BIC$=109$. On the decomposition sample, an informational residual of $\log(\mathrm{VIX})$ alone retains most of that gain ($\Delta$BIC$=78.6$), whereas a mechanical VIX proxy alone does not improve the fit. Autocorrelation-matched placebo fields fail ($\Delta$BIC$_{\max}=2.7$), disjoint weekly reconstructions still favor the field-coupled model ($\Delta$BIC$=140$--$151$), and six anchored chronological holdouts preserve the out-of-sample advantage. Quiet-regime and field-stripped residual autocorrelation controls show the same collapse of persistence. Stronger hidden-variable extensions remain only partially supported. Within the tested stochastic class, conditioning on the observed VIX proxy absorbs most of the apparent slow dynamics.