SEBI’s new framework for determining unaffected price in response to market rumours
Securities and Exchange Board of India (SEBI) has announced a new framework for considering the unaffected price of transactions following the confirmation of market rumours.
Under Regulation 30(11) of the SEBI (LODR) Regulations, 2015, as amended in 2024, listed entities are required to verify market rumours when there is a significant price movement. The stock exchanges will publish the framework for identifying material price movements on their websites. According to the new framework, if a rumour is confirmed within 24 hours of a material price movement, the unaffected price will be calculated by excluding the price impact of the rumour and its confirmation. This adjusted volume-weighted average price (VWAP) will be used for transactions subject to SEBI or stock exchange pricing norms.
The unaffected price framework will be implemented in stages — starting from June 1, 2024, for the top 100 listed entities, and extending to the top 250 listed entities (including the next top 150) from December 1, 2024. The methodology involves calculating the adjusted daily VWAP by excluding variations attributed to the rumour and its confirmation. The unaffected price remains valid for 60 or 180 days, depending on the transaction stage, from the rumour confirmation date to the relevant date under existing regulations, such as public announcements or board approvals.
