Time Series (TS) data often exhibits a cyclical pattern. Security indices time series data is not an exception to that. Three forms of Indian security indices data are studied here for characterization of business cycles. These are of values, returns, and moving variance series of selected sectorial National Stock Exchange (NSE) indices together with the gross indices Nifty and Sensex by considering daily movements. The datasets are analyzed by Fast Fourier Transform (FFT), Short Time Fourier Transform (STFT) and wavelet-based methods with and without Hodrick and Prescott (H-P) filtering as pre-processing. The FFT analysis shows that most of the indices show business cycles of approximately quarterly duration, whereas wavelet studies identified some structural breaks in some of the considered datasets.

Fluctuation of stock prices is not unhelpful and is an indication of stock markets’ competence. In an efficient market, stock price completely echoes all obtainable information. Thus, stock price fluctuates in response to new information. The main dilemma with price fluctuation that influences the financial market efficiency is harsh excess volatility that ends up in breakdown. The turmoil in the financial markets of developed economies, which was underway around middle of 2007, has aggravated considerably since August 2008.

It is observed that the stock market activity in India is flourishing these days. Indian stock market is being looked upon as the indicator of the strength of the Indian economy. The knowledge of the characteristics of Indian financial market (Kaur, 2004; Kanuk, 2007; Das et al., 2008; and Das, 2014) is highly relevant to the literature on financial markets in developing countries and to the questions on the attractiveness of capital controls. This study examines the values, returns, and volatility of some National Stock Exchange (NSE) indices together with Sensex to understand the cyclical behavior of Indian stock market by exploring daily movements. The financial market catastrophe has had an impact on the major financial institutions even in India. With the volatility in portfolio flows having been great during 2007 and 2008, the force of global financial turmoil has been realized particularly in the Indian equity market. The BSE Sensex augmented significantly from a level of 13K as at around end of March 2007 to its height of 20,873 on January 8, 2008 responding to the elevated growth performance of the Indian corporate sector. Consequently, the analysis of financial asset volatility is essential to academics, policy makers and bourses for several reasons.

Applied Finance Journal, Time Series (TS), Fast Fourier Transform (FFT), Short Time Fourier Transform (STFT), SENSEX, NATEX, Cyclical Behavior Analysis, Indian Market, H-P Filter and Spectral Techniques.