Price Discovery or Price Pressure? High-Frequency Evidence from India’s New Closing Auction Session

Author(s)	Mr. Hamza Imran Memon, Dr. Karishma Anklesaria-Dalal, Dr. Bharti Vidhani, Dr. Anil Borkar
Country	India
Abstract	India introduced a dedicated Closing Auction Session (CAS) for derivative-eligible cash equities on 3 August 2026. Using one-minute market data and official National Stock Exchange auction records, this study examines changes in closing-price formation and the persistence of auction-specific price movements. Closing movements increase after CAS, while stock-specific auction returns strongly reverse by the next trading-day open. The controlled mean daily cross-sectional reversal coefficient is -0.336 and is negative on 24 of 25 trading days. Reversal is stronger for large auction moves and high auction intensity. The evidence supports a hybrid interpretation combining information aggregation with temporary price pressure.
Keywords	closing auction, price discovery, price pressure, market microstructure, high-frequency data, India
Field	Sociology > Economics
Published In	Volume 7, Issue 10, October 2026
Published On	2026-10-03
DOI	https://doi.org/10.70528/IJLRP.v7.i10.2433

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