ABSTRACT
Over the past two decades, the frequency and volume of stock trade has increased. With the increase in volume of transactions, the analysis of volatility and uncertainty in the trading price has become paramount. Thus, many theories, such as the random walk theory and the efficient market hypothesis, have been applied to predict the pattern of the movement. However, the type of investors and the market conditions have often disapproved the theory of existence of any pattern. The Indian stock market is one such anomaly. Stock price prediction is an important topic in finance and economics, which has prompted the interest of researchers over the years to develop better predictive models. The autoregressive moving average (ARMA) models have been explored in the literature for time series prediction. The aim of this study was to conduct a time and frequency analysis of the Indian stock market.
