This paper provides an empirical time series analysis of the daily returns of six Australian Indices, them being, All Ordinaries (Allords); Transportation, Mining, Banking, 20 Leaders and Industrials over the period 3 October 1994 to 30 September 1996. We have analysed the date using linear regression model and Box-Jenkins auto regressive integrated moving average (ARIMA) model. We have also investigated possibility of seasonality over five days of the week (Monday to Friday when the transactions takes place). Whereas no seasonal pattern is observed, Box-Jenkins approach is also not found suitable for forecasting these indices. However, in some cases we observed that auto correlation function (ACF) and partial auto correlation function (PACF) are significant at lag one which contradicts the random walk hypothesis. Overall regression model is found to give best forecast.