A Comprehensive Analysis of Time Series Segmentation on Japanese Stock Prices

This study comprises a comprehensive analysis of time series segmentation on the Japanese stock prices listed on the first section of the Tokyo Stock Exchange during the period from 4 January 2000 to 30 January 2012. A recursive segmentation procedure is used under the assumption of a Gaussian mixture. The number of each quintile of variance for all the segments is used as an indicator of macroeconomic situations and is investigated empirically. The results show that from June 2004 to June 2007, a large majority of stocks were stable and that from 2008 several stocks were unstable. In March 2011, the number of unstable stocks increased dramatically due to societal turmoil after the Great East Japan Earthquake. It is concluded that the number of stocks included in each quintile of volatility provides useful information about the Japanese macroeconomic situation.