Intraday Beta Dynamics and Sectoral Resilience: A Comprehensive Event Study Analysis of Major 2025 Market Shocks in Indian Stock Market

Abstract

This study examines how different sectors perform on an intraday basis in the Indian stock market in four major events of 2025, the Air India crash in August 3, the Pahalgam terror attack on 23 April, Operation Sindoor and 27 per cent US tariffs imposed on 27 April. We operate high-frequency data (5 minutes) for windows of more than three days. We investigate the changing systematic risk in the banking, IT, FMCG, automotive, and pharmaceutical industries. In our analysis we employ such statistical methods as ANOVA and linear regression. To assess the excess stress over the normal abnormal returns the study calculates standard Cumulative Abnormal Returns (CAR) and introduces a new measure Beta-Adjusted Return (BAR). The findings show that intraday beta is considerably volatile, and the variation of R-Squared is between 0.001 and 0.952. This undermines traditional wisdom on the essence of beta stability. The crisis is most vulnerable to the IT and pharmaceutical industries, and the FMCG industry is most fortified and constantly demonstrates safe-haven tendencies. Banking business is characterized by stable risk trends and does not take sides. This study will add valuable new knowledge to the list of studies on market microstructure by documenting changes in systematic risk. It also gives useful commentary on risk assessment, portfolio management and regulatory oversight during turbulent market conditions.