| The issue of asset price bubble has been closely concerned by both the theoretical and practical circles.Although the theoretical research on the asset price bubble has achieved remarkable results,as of today,we’re still at a loss what to do regarding the financial crisis it caused.Such as the US subprime mortgage crisis triggered by the real estate price bubble,which was not only unexpected by the world’s economists,but also caused the government to seriously question the economists because they could not predict the crisis.Therefore,the first problem that demands to be solved urgently is to crack the generation and evolution mechanism of the asset price bubble.The phenomenon of asset price bubble is generated during the process of economic and financial development.From the view of behavioral subject hypothesis,the development of financial theory has gone through traditional mainstream finance theory and behavioral finance theory.On the one hand,the research of traditional mainstream finance theory on asset price is established on the "expected utility theory and the rational-economic man hypothesis of static model",emphasizing that the behavioral subject can control the market as they can conduct subjective activities,but the situational analysis of investment decisions made by behavioral subject are lacked;On the other hand,the research of behavioral finance theory is established on the hypothesis of “real human being” without considering the “sociality and historic significance”,it can’t correctly understand the behavioral characteristics of human organizations,nor sufficiently analyze human activities and financial virtuality,which in turn fails to provide a reasonable explanation for asset price bubbles.In a case a financial phenomenon can’t be explained by the existing theory,people are driven to explore another way.Hence,the "complex behavioral hypothesis" based on the evolutionary theory and the dual-system decision theory has been set up and overcome the defects of the above-mentioned two theories.In this paper,it attempts to study the generation and transmission path and evolution mechanism of asset price bubble from this perspective,so as to provide theoretical support and practical reference for the prevention and governance of asset price bubble.Main research contents and conclusions:1.Evolutionary theory and dual-system decision theory are adopted to deeply analyze the decision behavior of the transaction subject,that is,solving the“decision black box” problem of the investment subject."Decision black box" refers to the hidden selection process before making a decision,as investment subject tends to make different decisions under different external stimulus when the same information changes.Such mechanism of using evolutionary theory and dual-system decision theory overcomes the shortcomings of "conventional finance theory economic man hypothesis and behavioral finance theory realistic human hypothesis",to be specific,the author conducts an in-depth analysis of the decision behavior made by the transaction subject according to the theoretical basis of Darwin’s "genetic-variationoptimal evolution mechanism",and the genetic-variation-selection mechanism made by the transaction subject behavior of the asset price bubble is then formed,thus unraveling the principle of “decision black box”.2.The evolution analysis framework is adopted to analyze the system hierarchy of financial market,and then the "transaction subject behavior" is deemed as a clue to establish the generation,transmission and evolution path of asset price bubble from the perspective of the interactions among basic factors,popular models,trading practices and trading behaviors.Interactions between four levels and three stages are indispensable during the transmission path of asset price bubble.The four levels include:(1)rising prices,including the continuous rise of individual products and index prices in the financial market;(2)the convergence of investor behavior leads to the herd and clustering behaviors;(3)the investor strongly recognizes a certain popular model in subjective ideas,solidifies the recognition of the rising trend,and then forms an optimistic,even fanatical psychological emotion;(4)the basic factor level guides the other layers develop to the upward trend of the index.The three stages are as follows: the interactions between the popular model and the price within the financial market,the interactions between the internal factors and the external fundamental factors of the financial market,the speculative interactions of all levels of the financial market.In the process of forming and maintaining the asset price bubble,the above four levels and three stages affect one another repeatedly and continuously.The probability of forming asset price bubble can be reduced if the support of any level is insufficient,but if the interactions continue to strengthen,probability of forming asset price bubble will also be increased,and the bubble also runs longer,vice versa.From the perspective of evolutionary path,the evolution process focusing on implicit path dependence has longer bubble duration,and larger bubble,besides,the implicit path dependence process includes the imitation of the transaction subject and the change of real economy,so the correlation degree between financial market systems will be stronger;for another,the evolution process focusing on explicit path dependence lacks the support of the basic level,so the mutual imitation of the transaction subjects is highlighted,the duration is shorter,and the bubble is also smaller.Based on the noise traders(DSSW)model,the internal and external factors of the trading market,namely,financial supervision,money supply and overconfidence of trading subject are included in the model to construct a simulation model of asset price bubble that involves interactions between four levels and three stages.According to the economic simulation results,the higher the positive impact of the five internal and external factors on the asset price bubble,the stronger the generation of the asset price bubble;of which,the proportion of follow-up traders has the greatest impact on the asset price bubble expansion,followed by the proportion of traders in intuitive system decision and excess liquidity,the impact of inelastic asset price ranks the third place,while the final factor is the impact of cognitive bias.It can be seen that follow-up traders are an important factor in boosting the asset price bubble.Based on the research in this paper,it is concluded the asset price bubble is an inevitable economic phenomenon with unpredictable occurrence time and duration,the intensity or the time for the bubble to burst cannot be expected,neither.This conclusion has been verified by cases of asset price bubbles that occurred in history.Main innovations:1.Innovation of research content.Darwin’s "genetic-variation-optimal evolution mechanism" and dual-system decision theory are adopted to solve the mystery of "decision black box of investment subject ".2.Innovation of research method.The theoretical framework of evolutionary analysis is used to deeply study the generation,transmission and evolution path of asset price bubble;besides,by combining behavioral finance theory with evolutionary paradigm theory,a model for the generation and evolution mechanism of asset price bubble is established,and then asset price bubble expansion process is extended in multiphase by referring to dynamic economic simulation ideas,thus realizing analog simulation using Matlab software. |
