资产价格泡沫缘何周期性破灭?——基于市场情绪视角的结构性解释

Why the Asset Price Bubble Periodically Collapsing?——Structural Explanation Based on Market Sentiment

动物精神理论认为,资产价格涨跌既能反映经济基本面变化,也会被市场情绪所驱动。市场情绪对资产价格的影响机理一直是行为金融学研究的重要议题。本文将市场情绪理论和泡沫计量方法相结合,采用单位根相关过程的贝叶斯计量方法,对资产价格与其内在价值之间的关系进行研究。结果表明:中国股票市场总体上能够较好地反映经济基本面变化。乐观情绪和悲观情绪对投资行为的影响机理存在本质差异。在乐观情绪下投资者预期持续分化,而悲观情绪下投资者行为一致性的持续期将大幅延长。由市场情绪主导的投资者集体性顺周期操作助推了股市周期性破灭泡沫的结构性分化,为绩优股带来缓慢收缩型泡沫隐患。因此,稳定金融市场应当加强对资本市场情绪的管控。

The theory of animal spirit shows that the rise and fall of asset prices reflect both fundamental changes in the economy and market sentiment.How market sentiment affects asset prices is an important issue in the field of behavioral finance.In view of this,this article combines the theory of market sentiment and the bubble measurement method,and uses Bayesian measurement method of Unit root related process to study the relationship between asset price and its intrinsic value.The results show that China′s stock market as a whole can better reflect changes in economic fundamentals.Optimism and pessimism have fundamental differences in the mechanism of investment behavior.In optimistic mood,investors are expected to continue to differentiate,while the persistence of investor behavior consistency under pessimism was prolonged.The collective procyclical behavior of investors dominated by market sentiment boost the structural differentiation of periodically collapsing bubbles,which may bring about slow shrinkage bubbles.Therefore,stabilizing the financial market should strengthen the control over the market sentiment.