Time series analysis is a method that helps  one to understand how various variables change with  time. It helps one to take various important decisions  in various aspects. One such important decisions  involve the decision relating to investments. This study  assists investors regarding the confusion in deciding  which companies from the pharmaceutical industry  to invest in. It also advises the investors on taking  long and short positions. The companies chosen for  the study are Dr Reddy’s, Cipla, Lupin, Sun Pharma  and Divis Lab. The data collected include the opening  price, closing price, volume of trade, day’s high and  day’s low for each of the above-mentioned companies  for the last three years. The data was collected from  the National Stock Exchange. The analysis includes  the calculation of cumulative log returns and rolling  statistics represented in the form of graphs. The study  advises investors to hold long positions for Cipla and  Sun Pharma and short positions for Lupin and Divis  labs. It suggests intraday trading for the shares of Dr  Reddy. As the study was limited to Pharmaceutical  Industry, It opens the scope for study in other industries.