2018 年 4 巻 1 号 p. 41-52
Change point search methods are often used in quality engineering. These methods detect the points in time when important changes can occur, and are applied to various types of time series data. In this study, we search for change points in financial data from Japanese companies across various industries. By using these methods, we can easily and quantitatively identify companies turning points, helping financial institutions analyze financial indicators over a certain period of time.
To obtain sufficient data for the analysis, we use quarterly financial data over the period 2006 to 2015 to apply methods focusing on average values. For the analysis, we select financial indicators such as return on assets, capital adequacy ratio, and rate of sales growth. For each financial indicator, we use the t test to identify change points in data. Then, we run the analysis by grouping data for multiple financial indicators and employing the Hotelling Tsquare test. In this way, we are able to detect turning points that could not be found from a single financial indicator. Finally, we survey the major economic events that occurred around each turning point.
