Ranbaxy shares surged 24 percent in the three trading sessions leading up to the announcement on Monday that Sun Pharmaceutical had agreed to buy Ranbaxy for $3.2 billion.
"Because there was such kind of price movement before the deal was announced, we have decided to check with the regulator," Naresh Tejwani, president of the Association of National Exchanges Members of India (ANMI) said on Wednesday.
"We will write to them by the end of the day to investigate into the matter."
A Ranbaxy spokesman declined to comment.
A spokesman for market regulator Securities and Exchange Board of India also declined to comment.
Sun Pharmaceutical did not immediately respond to requests for comment.