Asset Price Bubble: Evolvement Mechanism And Empirical Study

Asset price bubble is an important issue that puzzles the economists for a very long time. Since the first bubble event"tulip euphoria"occurred,the economists have been working hard on this topic, but unfortunately they still have not coordinated their opinions. Since the 80th and 90th of the twentieth century, the ologies have tended to interweave with each other, which gives the study on asset price bubble a new chance. Scientists study on it from different angles and have obtained lots of achievements. Based on those great fruits, this dissertation works over the evolvement mechanism of asset price bubble and makes empirical study.Firstly aiming at the argument on the existing of asset price bubble, this dissertation demonstrates that asset price bubble does occur taking advantage of the results of experiment economics and defines that asset price bubble is a phenomenon that expectation drives the price to deviate from the economy basis, the fluctuation of price exhibiting apparent correlativity, the index going beyond the critical value, the collapse of asset price bubble being due to the reversal of expectation.Then this dissertation compares the rational bubble theory and irrational bubble theory which concern on the evolvement mechanism of asset price bubble. Solving the equation based on rational expectation, rational bubble theory gets bubble solutions and calls them rational bubble, contributing much to the issue of asset price bubble. Because the hypothesis does not accord with reality, there is huge gap between rational bubble theory and reality. So many scientists began to study on asset price bubble from other angles. Fads bubble theory discusses the evolvement mechanism from the angle of fad psychology. Information bubble theory discusses the evolvement mechanism from the angle of information asymmetry. Chaos theory and fractal theory describe the evolvement mechanism taking advantage of the knowledge of dynamics.Secondly comparing asset price bubble theories, this dissertation advances that asset markets are full of uncertainty, asset price does not determined by its fundamental value, but determined by expectation on asset's value or price, that is, the evolvement of bubble is related with people's faith and expectation mechanism. So expectation is the key to understand asset price bubble. But under uncertainty environment, people's expectation is not rational but is limitedly rational or irrational which causes the jack-up and collapse of asset price bubble. Thirdly this dissertation probes into the judgment and inspection of asset price bubble from the angle of investor emotion, certain index and the correlativity of price fluctuations, based on comparing and discussing the evolvement mechanism of asset price bubble. And making use of these index analysis and statistic test methods this dissertation makes judgments on the problem whether or not there exist asset price bubbles in the stock market and housing market.Lastly this dissertation discusses the influence on economy of asset price bubble and advances that it is necessary to work on the countermeasures against the asset price bubble because of its adverse effects on economy, and probes into the measures from the micro and macro aspects.