SEBI Proposes Revised Closing Auction Framework for Indian Equity Markets

India's securities regulator has unveiled plans to overhaul its stock market closing price mechanism, replacing the current Volume Weighted Average Price (VWAP) method with a structured auction system. The proposed 20-minute Closing Auction Session (CAS) WOULD run from 3:15-3:35 pm IST, featuring four distinct phases for order entry, matching, and confirmation.

The revised framework tightens price bands to ±3% from reference prices, down from the initially proposed ±5% threshold. Reference prices will now be calculated using a condensed 15-minute VWAP window (3:00-3:15 pm) instead of the current 30-minute period. This change aims to reduce market volatility during critical events like index rebalancing and derivatives expiry.

SEBI's MOVE aligns India's market structure with global practices, potentially increasing institutional participation. The consultation period remains open until September 12, with market participants anticipating improved price discovery mechanisms that could influence cross-asset correlations, including digital assets.