  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.
