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

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  • Aki-Hiro Sato

Abstract

This study conducts 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 daily number of each quintile of volatilities for all the segments is investigated empirically. It is found that from June 2004 to June 2007, a large majority of stocks are stable and that from 2008 several stocks showed instability. On March 2011, the daily number of instable securities steeply increased due to societal turmoil influenced by the East Japan Great Earthquake. It is concluded that the number of stocks included in each quintile of volatilities provides useful information on macroeconomic situations.

Suggested Citation

  • Aki-Hiro Sato, 2012. "A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices," Papers 1205.0332, arXiv.org, revised Mar 2013.
    • Handle: RePEc:arx:papers:1205.0332
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    Cited by:

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    3. Wang, Haifeng & Shang, Pengjian & Xia, Jianan, 2016. "Compositional segmentation and complexity measurement in stock indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 67-73.

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