What Is the Closing Auction Session (CAS) and How Does It Affect Investors?
Summary
Capitalmind hosts Deepak Shanoy to explain India’s new Closing Auction Session (CAS), designed to prevent end-of-day price manipulation. They detail the CAS mechanics, including order prioritization and equilibrium price discovery. The episode highlights current teething issues, such as significant price discrepancies between spot and futures markets, and concerns over low liquidity and execution uncertainty for institutional investors.
Topics discussed
Introduction to the new Closing Auction System (CAS)
Problems with the old closing price mechanism
How the Closing Auction Session (CAS) works
Equilibrium price discovery and order priority
Arbitrage opportunities between cash and futures
Liquidity issues and price discovery anomalies
Potential for manipulation and index rebalancing
Impact on options trading and broker technology
Future outlook and need for market participation
Conclusion and podcast outro
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