Why does my loop produce the same random number unless I pause at the end of every iteration?

Why does this work and produce different random numbers per the SIZE?

for (int index = 0; index < SIZE; index++)
{
    Random rand = new Random();
    numbersArray [index] = rand.Next(0, 100);
    MessageBox.Show(index.ToString());
}

And yet this produces the same number per the SIZE?

for (int index = 0; index < SIZE; index++)
{
    Random rand = new Random();
    numbersArray [index] = rand.Next(0, 100);
}

The only guess i have is that the Random object gets refreshed when the program pauses?