| The efficient market hypothesis holds that investors are rational,and asset prices have fully reflected all the information on the market.This means that investors cannot beat the market through technical analysis and fundamental analysis to obtain excess returns.However,a large number of domestic and foreign scholars have analyzed the financial anomalies such as the “1987 stock market disaster” and the “Internet bubble in 1999” and found that investors are not bound to the rational person hypothesis as described in the hypothesis,but should be bounded rational.Sometimes it is irrational.Beginning in the 1980 s,behavioral finance began to rise,and the irrational behavior in financial markets was studied in depth.It was concluded that the incompleteness of securities prices was determined by the intrinsic value of assets,but was largely influenced by investors.The impact of behavior,investor sentiment and the resulting range of behaviors can have a significant impact on changes in securities prices and decisions.Investor sentiment is a common way for traders to express their views on future market trends,and it will be mixed with their bullish or bearish attitude towards the expected market.By gathering market information and processing analysis to analyze this information,investors will form their own preferences.However,the information on the market is limited.If the investor’s subjective judgment is emotionally heavy,it will easily lead to misjudgment and influence the market through external behavior,which will induce large fluctuations in asset prices.In this context,this paper conducts an in-depth study on the measure of investor sentiment and its impact on asset price bubbles,and further examines the path of investor sentiment that specifically affects asset price bubbles.Through the system,we expounded domestic and foreign articles about investor sentiment affecting asset price bubbles.Using the 2015-2017 Shanghai and Shenzhen stock exchanges to delete financial listed companies as sample data,using empirical analysis to test the effect of investor sentiment on asset price bubbles.At the same time,using group regression and constructing interactive term regression to further verify the role of stock returns in investor sentiment affecting the stock price bubble.Through empirical analysis,the following conclusions can be drawn: First,the short-term momentum indicator will cause changes in investor sentiment,but it will reverse in the long run.When the market is in a high-sounding stage,the stock price bubble shows an upward trend,and investor sentiment is not only It is significantly related to the stock price bubble,and the impact coefficient is positive.Second,the effect of investor sentiment on the stock price bubble is different due to the proportion of the top ten shareholders.When the shareholding ratio is low,the investor’s sentiment can be stronger.As for the stock price bubble,the coefficient is not only significant but also large,but as the shareholding ratio increases,the effect of investor sentiment is decreasing.This also reflects the fact that the company with scattered shareholding structure has more violent fluctuations in investor sentiment.Large,the stock price bubble is more susceptible to emotional contagion;third,the return on individual stocks significantly reduces the effect of investor sentiment on the stock price bubble,which also reflects the fact that companies with poor performance have a greater impact on investor sentiment.Even if investors are optimistic about the market outlook of blue-chip stocks,their stock price bubbles will stabilize and decline.This paper attempts to reveal the interrelationship between investor sentiment and asset price bubble,thereby clarifying the perfect direction of a stable and durable market trading system,establishing a scientific regulatory system and norms,and also how to stabilize the stock market by monitoring the investor’s sentiment.I have made my own suggestions and strive to establish a value investment concept in the stock market,improve the existing investor structure,and enable the market pricing mechanism to play a greater role. |
