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India closing auction sessions still see low participation and swings
BSE Sensex fell about 2,100 points in the first five minutes of the CAS session on Thursday before ending down 417 points, highlighting volatility a month after the framework began.
India’s stock market regulator has rolled out closing auction session rules intended to improve transparency in end-of-day stock pricing, but a month later participation remains limited and price swings persist, LiveMint Markets reports. The new mechanism determines a single equilibrium price by matching buy and sell orders during the last 15 minutes of each trading day, replacing the prior volume-weighted average framework.
Data cited by LiveMint Markets show trade activity in the closing session stayed weak through August. From 3 August to 28 August, trading volumes fell 24.3% to 19.6 million, while trade value dropped 26% to ₹ 944.94 crore. Participation picked up after an MSCI index rebalance on 31 August, with volumes rising 4.7% by 3 September and value increasing 14.2% to ₹ 1,457.74 crore.
The volatility and lower participation have also spilled into derivatives, according to LiveMint Markets. About half of the volume and value in Bank Nifty futures disappeared after CAS was introduced, with volumes down 42% to 14,180 contracts and value declining to ₹ 2,445.72 crore on 2 September, while Nifty futures volumes fell 30% to 38,875 contracts and trade value dropped 20.5% to ₹ 6,148.77 crore on 28 August.
On Thursday, LiveMint Markets reports the BSE Sensex dropped sharply during the opening minutes of the CAS window, falling about 2,100 points in the first five minutes before recovering. The index ultimately closed 417 points lower at 76,152.86, with the session occurring on the weekly BSE derivatives expiry day.
Latest closeSensex 76,944.28 ▼0.0%