Sebi mulls new framework to help passive funds reduce tracking error

Separate call auction session proposed to mitigate final hour volatility

The Securities and Exchange Board of India (Sebi) on Thursday proposed introducing a separate call auction session (CAS) after the market hours to determine the closing price of stocks in the equity cash market, akin to the mechanism followed globally.

 

In a consultation paper, Sebi proposed introducing a call-auction mechanism for determining the closing price of each stock through a separate 15-minute session between 3:30 pm and 3:45 pm. The proposed mechanism would initially be available only for stocks in the derivatives segment and later extended to others in a phased manner.

 

The new mechanism will replace the current practice