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This study conducts a comprehensive analysis of time series segmentation onthe Japanese stock prices listed on the first section of the Tokyo StockExchange during the period from 4 January 2000 to 30 January 2012. A recursivesegmentation procedure is used under the assumption of a Gaussian mixture. Thedaily number of each quintile of volatilities for all the segments isinvestigated empirically. It is found that from June 2004 to June 2007, a largemajority of stocks are stable and that from 2008 several stocks showedinstability. On March 2011, the daily number of instable securities steeplyincreased due to societal turmoil influenced by the East Japan GreatEarthquake. It is concluded that the number of stocks included in each quintileof volatilities provides useful information on macroeconomic situations.

A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices