SEARCH FOR THE PERIODICITY OF THE PRIME INDIAN STOCK EXCHANGE INDICES USING RAYLEIGH POWER SPECTRUM ANALYSIS

S. SAMADDER¹, K. GHOSH², T. BASU^3
1Department of Mathematics, Fakir Chand College, Diamond Harbour, South 24 Parganas- 743 331, WB, India.
²Department of Mathematics, University Institute of Technology, University of Burdwan Golapbag (North), Burdwan- 713 104, WB, India.
³Department of Mathematics, Jadavpur University, Kolkata- 700 032, WB, India.

Received : 06-12-2013     Accepted : 13-03-2014     Published : 10-07-2014
Volume : 2     Issue : 1       Pages : 10 - 12
Bioinfo Bus Econ 2.1 (2014):10-12

Keywords : SENSEX, NIFTY, Periodicity, Rayleigh power spectrum analysis
Conflict of Interest : None declared

The purpose of the present work is to investigate the possible periods of the two prime Indian stock market indices viz. SENSEX and NIFTY data. To serve this purpose we have here used a modified version of Rayleigh power spectrum analysis on daily SENSEX close data during the period from 1st July, 1997 to 31st December, 2010 and NIFTY close data during the period from 3rd July, 1990 to 31st December, 2010. Study reveals periods for the SENSEX at around 9 and 35 days and for NIFTY at around 15 days with corresponding confidence levels higher than 99%. With this periodic behaviour we have also observed pseudo-periodic behaviour in the present profile which certainly adds to the complexity in the process.