Same Company, Two Prices: How Closely Do India's Two Stock Exchanges Agree on the Close?

Thousands of Indian companies are listed on both the National Stock Exchange (NSE) and BSE, so each of them ends every trading day with two official closing prices. Using a year of daily closing data (2025-10-20 to 2026-10-26, 250 trading days), I match 2,524 companies across the two exchanges and study 501,497 pairs of closing prices. The two closes are usually close but rarely identical: the median gap is 11.0 basis points, and 13.7% of stock-days differ by more than half a percent. Liquidity explains most of the variation across companies. A tenfold increase in a stock’s trading value is associated with a median gap about 54% smaller, and trading value alone accounts for 84% of the cross-sectional variation in typical gaps. The gaps do not last: only about 14% of a gap carries over to the next day on average, and for the most actively traded stocks almost none does. Gaps widen modestly on days when the market moves a lot. I also document a puzzle: for thinly traded stocks, BSE tends to close slightly above NSE. Overall, the evidence fits a market where the law of one price holds well for liquid stocks, and where the gaps that remain look like short-lived noise rather than lasting mispricing.