In this paper, the effect of local hydrophobicity (LHP) in protein secondary structure formation is investigated using time series analysis approach. The LHP around a residue in a protein is defined as the sum of hydrophobicity (HP) of the surrounding residues within an effective range in a three-dimensional structure. HP and LHP as functions of the linear amino acid sequence are considered as time series, and are decomposed into a number of intrinsic mode functions (IMFs) using the empirical mode decomposition method. Correlation analysis of IMFs of HP and LHP of the wild-type (WT) proteins shows that the relative strength among IMF pairs is associated with the length scales of secondary structures. Examining the variations of secondary structures in mutants from the WT protein as a result of LHP changes, we propose that LHP is a useful parameter to describe secondary structure formation in proteins.