The Research Of The Formation Mechanism Of The Price Bubble Based On Investors Behavior

Bubble phenomenon in economy is not a new thing,there are a lot of bubble events in history.From "tulip crazy" in Dutch during the 17th century,"South Sea bubble" in British in the 18th century,and the "black week four" of stock market in the United States in 1929,to Japan's bubble economy collapse after the destruction of the great depression in the 1980s,the Southeast Asian financial crisis caused by the collapse of the Thai baht in the 1990s,until the "subprime mortgage crsis" triggered by real estate price bubble burst in the United States in 2007,humans have been repeatedly exposed to it on the real economy by a huge impact.Therefore,the asset price bubble has gradually become the focus of governments,central banks and regulators.However,from the perspective of academic tradition,the financial market is effective,which can reflect all the a ailable information in time,so only the major event has led to the expansion and rupture of the market.Although a large number of detailed research had been done,it was still unable to determine what foreign news caused such as the American crash event.Therefore,the classical financial theory,wh ich is based on random walk,effective market hypothesis and rational expectation,is also challenged by the classical financial theory.In recent years,the academic circles has the understanding that the financial markets essentially is a self-organized complex system,which is composed of large amount of learning ability,interaction of individual investors,and emerge price fluctuations,the formation of foam,etc.a series of unstable complex phenomena through the nonlinear interaction mechanism.This kind of interdisciplinary development for the study of asset price bubbles can provide a new train of thought:the author thinks that the interaction between leading to asset price inflation and bursting factors already hidden in the market,continuously to strengthen the feedback mechanism and investors will accelerate the bubble,and unexpected events is not important,because the market has already entered into a unstable stage,any a tiny disturbance will cause avalanche fed.On the basis of previous studies,from the angle of investor behavior,first this paper has deeply studied the investor behavior and interaction mechanism,and also established multi-agent model with herd behavior and chase return behavior,and reveal the formation mechanism of the herd behavior andchase return behavior to asset price bubbles.By analyzing the stability conditions of the model and the unstable conditions,We found.capital market can be kept stable in a certain range of parameters of investors's herd behavior and chase return behavior,.market would be unstable out of the range,and form price bubble.Numerical results show that whether separate chasing return behavior,herding behavior or interaction between the two will lead the asset price bubble.In addition,through a number of numerical simulation,it is found that the trend of the chase does more effect than the herd behavior on the asset price bubble.Secondly,it is discussed that overconfidence effect on the value of the underlying assets in theory,and then the overconfidence is introduced to the foregoing analysis model of system dynamics of correlation analysis and numerical simulation.the model can reveal the formation mechanism of the overconfidence behavior to asset price bubbles.It was found,under herding behavior,the pursuit of profit behavior,excessive self-confidence existing at the same time,excessive assertive behavior is not only the most impact on asset price bubbles,but also will lead the mean value of the asset prices away from fundamental value,which is the result of inexistence of the herding behavior and the behavior of the chase.In the extended study,according to the construction of the main body of the market strategy changes system dynamics model,it is found that,as the main strategy in the market interchangeable,the reaction parameters of excess returns deriving from the two kinds of trading strategies have some impact on asset price bubbles,which increases with the increasing size of the parameters.However,the difference between the price of assets and the underlying price is not affected by the asset price bubble.Meanwhile it is put forward in theory,the number of value analysis investors accounting for one-third in the market,is a necessary condition for market stability.Then,according to the results of the aforementioned theoretical analysis,we analysed the impact of the investors behavior to the asset price bubbles and the formation mechanism.Firstly the influence of the investors' behavior on the asset price bubbles is discussed.It shows that by empirical results,there is a significant positive impact on the asset price bubbles in both of the herd behavior,and overconfidence.Although behavior of the pursuit of the trend.is significant.impact on bubble,the coefficient is negative.Based on this,according to stages,the variables of asset price bubbles in stage is divided into bubble generation stage,expansion stage and burst for three different stages.The results shows that,Herd behavior and trend behavior has significant effect in three stage of price bubbles.overconfidence has significant effect only during the expansion and burdt stage of asset price bubbles,which is positive.In addition,the three stages all have an effect on the asset price bubbles.then,we analysed the elationship between the key factors of the over confidence and the asset price bubbles,and discussed the relationship between the valuation bias and the over confidence.The result shows that the over confidence has a significant effect on the estimation bias in the these stage.finally,we analysed the elationship between the key factors of investor's transfer probability and behavio.The result shows that the herding behavior and chasing return behavior have a significant effect on transfer probability in all stage,and effect further assest bubble.Again,multi-agent simulation about asset prices is done with the use of netlogo software.It is further studied that over-confidence,herding,and the price trend,as single factor or multi factor interaction have an influence upon asset price bubbles.Through the analysis of yield characteristics of simulation data and the Shanghai and Shenzhen stock market index,it is showed that,the yield based on simulation of investment behavior of the multi body is in line with the market's peak and fat tail characteristics,and have similar volatility clustering and market data.Finally,a series of policy recommendations are presented in order to regulate the behavior of investors from both the macro level and the micro level two perspectives.Specific performance in the government sector is to improve the information disclosure system and the transparency of the market,reduce the behaviors caused by information asymmetry degree of over-confidence,blindly following the trend and chasing sell.At the same time,through developing the proportion of institutional investors and increasing the proportion of the value of investors,it will lead to increase the proportion of asset prices returning to the basic value,and reduce the asset price bubble and at last stabilize the market.In addition,the education of investors should be actively carried out,in order to enrich the professional knowledge of investors,change the investment philosophy,with their investment behavior meeting with the value of investment.While to the investor oneself,investors must pay attention to their own psychological and emotional control and adjustment.During the investment process,investors should fully understand the investment market and their own,without blindly following the trend to enter the market,which will lead to loss of their own judgment and the decision-making of investment,increase the proportion of non-value ones.And in order to avoid the noise of the market,investors can deliberately stay away from the noise sources gathered in the region,with less interference in the valuation and decision making.In addition,investors should promote the concept of value investment,and choose to change the investment style,and also actively pursue innovation,keeping a clear mind,so as to increase the proportion of value investors.