Study On The Evolution Of The Asset Price Bubble Based On Investor Sentiment

It has been a bubble phenomenon for a long time.From Dutch's "Tulip Crazy",France's"Mississippi Bubble",Britain's "South Sea Bubble",Russia's "3 M Pyramid Schhemes",America's Subprime Crisis",Japan's "Bubble Economy",to the hot real estate and stock market in o ur country,people have repeated ly experie nced its serious impacts on real eco nomy.Furthermore,more and more fields have been affected by bubble phenomenon in the past few years,even some commodity trades such as green beans,garlic,jade,Pu'er tea and antiques,etc.,were always getting into price bubble and he lping itself out of the price bubble uselessly.Focusing on the financial anomalies of bubbles,scholars have made a sysmetic and comprehensive study of bubble phenomenon through theory modeling,empirical test,and experiment research and fruitful research results have been achieved.Recently,with the development of behavioral finance,system dynamics,complex system study,our scholars grad ually begin to regard financial markets as complex systems,so as to study various financial anomalies such as the excessive volatility of stock price,stock premium and high exchanging rate in financial market from the perspective of investor sentiment,which provides a much more complete analysis framework for asset price bubble.On basis of behavioral financial theory,this study builds a model of asset price bubble including investor sentiment,trading behavior.Also,it reveals the evolution mechanism of asset price bubble under investor sentiment and trading behavior.What's more,it has a further survey of evolution of asset price bubble by data analysis and also it has in-depth understanding of the in flue nce of interactio ns of trading subj ects who are impacted by investor sentiment on the evolution of asset price bubble by experimental simulation,In this paper,the innovative works and the research conclusions are as follows:Firstly,this paper analyzes the bubble phenomenon in market economy.Taking the bubble evolution as the main line,it gives the asset price bubble an exact definition by dissecting the differences and relationships among the asset price bubble,economic bubble and bubble economy.Meanwhile,the asset-specific sentiment is separated from market sentiment to analyze the influence of as set-specific sentiment and market sentiment on evolution of asset price bubble,thus constructing the conceptual model of this paper.Secondly,based on the behavioral financial theory,this paper introduces asset-specific sentiment into the current model of nonlinear asset price dynamic fluctuation.It analyzes the influence of the interactions among specific-asset sentiment,herd behavior,mean-reversion trading behavior on the evolution of asset price bubble.Also,it dissects the path of the formation of asset price bubble,building a model of the evolution of asset price bubble.Finally,it tests the evolution of asset price bubble with numerical simulation by MATLAB.Research results show that the existence of asset-specific sentiment causes the deviation of asset price from the basic value,thus forming asset price bubble.By further analysis of asset price bubble evolution on condition of local stability and instability,it can be seen that due to the influence of as set-specific sentiment,the asset price bubble has been in the evolution of generation,expansion and burst.Under the advantaged situation of optimistic and pessimistic sentiment of asset-specific,the asset price bubble forms the positive and negative development trend.With the remarkably fluctuation of asset price,the financial system will be gradually developed from stable state to unstable state.Thirdly,this paper introduces market sentiment into the evolution model of asset price bubble on basis of sentiment.By dissecting the path of formation of asset price bubble which is based on market sentiment,it analyzes the characteristic and stability of equilibrium point of asset price bubble evolution,thus revealing the influence of interactions among market sentiment,asset-specific sentiment,herd behavior and mean-reversion trading behavior on the evolution of asset price bubble.Research results show that under the state of local stability of the evolution of asset price bubble,it has different influences on the evolution of asset price bubble between market sentiment and as set-specific sentiment.Furthermore,it gets the stable domain of the evolution of asset price bubble among market sentiment,asset-specific sentiment,herd behavior and mean-reversion trading behavior What's more,it analyzes the evolution state of asset price bubble in stable and instable domain of market sentiment,thus revealing the influence of optimistic and pessimistic sentiment of market and specific-asset and their interactions on the generation,expansion and burst of asset price bubble.Fourthly,based on the evolution model of asset price bubble influenced by as set-specific sentiment and market sentiment,it calculates the basic value of each stock in samples by use of the improved residual income model.It also structures the market sentiment index by AHP method in order to reveal the influence of asset-specific sentiment and market sentiment on the asset price bubble.Research results show that it has a significant effect of asset-specific sentiment,market sentiment,the optimistic and pessimistic sentiment of asset-specific,market and their interactions on the evolution of asset price bubble.At the same time,using the Monte Carlo simulation method,bubble is divided into three generation-generation,expansion,burst Furthermore,it reveals the linear and nonlinear effects of asset-specific sentiment,market sentiment on asset price bubble in different evolution stages.The empirical results show that it has a significant effect of as set-specific sentiment,market sentiment and their interactions on the generation,expansion and burst of asset price bubble.Also it is significantly influenced by the optimistic and pessimistic sentiment of as set-specific and market on the generation,expansion and burst of asset price bubbleFifthly,this paper builds a multi-agent experiment under the condition of asset-specific sentiment and market sentiment by the NetLogo simulation software.Inducing the adjustment function of asset-specific sentiment,market sentiment,herd behavior trader and mean-reversion trader,it simulates the time series of asset price bubble influenced by asset-specific sentiment and market sentiment,thus revealing the evolution mechanism of asset price bubble on condition that the asset-specific sentiment and market sentiment affect asset price bubble.By comparing the characteristics of the yields of theoretical sample companies and simulation samples,it can be seen that the experimental data is in consistence with the basic rule of listed companySixthly,this paper builds the early warning mechanism of the evolution of asset price bubble from the perspective of determining the attribute of asset,designing the three levels of warning area and preventing for different warning areas,etc.It also enhances the management of asset market by building database of investor sentiment,the adjustment of supply and demand of asset market and the enhancement of market transparency etc.Furthermore,it aims to regulate the trading behavior of asset market by improving the investors' theoretical knowledge,strengthening the risk awareness of investors,etc.Moreover,it improves the remedy methods of the asset price bubble burstIn general,this research program not only improves the existing theoretical system of asset price bubble which provides a proper and credible theoretical basis for the government to effectively manage the asset price bubble,but also has important reference for the government to carry out macro-control and financial supervision,thus ensuring healthy and stable development of national economy.