Research On The Influence Of Interaction Mechanism Between Heterogeneous Beliefs And Investor Sentiment On Asset Pricing

Stock price sometimes fails to follow the assumptions of traditional asset pricing theorywhichpresents a random walk state.A phenomenon that the stock price is free from the hypothesis and the price is not reasonable,is quite often.Investors are sometimes driven by emotion to make irrational investment decisions,so we should pay attention to the bounded rationality and irrational rationalityresearch of them.Heterogeneous beliefs are the different expectations of the investors for market price.Investor sentiment is the response of investors to the impact of information in the short term,which is finally reflected in the investment behavior.They two influence each other,and affect the price fluctuation of stocks to a certain degree.At present,more studies about investor sentiment and heterogeneous belief on asset pricing can be found separately,but there are few studies on the influence of asset pricing under the contr ibution of the two.Based on the theory of system,contributed opend systems to corverd the interaction mechanism.Therefore,the interaction mechanism between heterogeneous belief and investor sentiment and the path of how to affect asset pricing are the ke y issues in this dissertation.Then,from the perspectiveof emotional factor,it providedthe countermeasuresof how to improve supervision system and transaction system.Under the framework of the system theory,the influence of interaction of investor sentiment and heterogeneous belief on the asset pricing deviation was studied.Firstly,the interaction mechanism between investor sentiment and heterogeneous belief was studied,and the indexes of heterogeneous belief and investor sentiment were established separately.It can be found that there are significant spillover effects and volatility spillover effects,using BEKK-VAR-GARCH model to verify the relationship between the two.Secondly,the nonlinear relationship and the influence mechanism between the two were revealed through the dynamic panel threshold model,and the interval emotion operator was established according to the result.And then,under the construction of the stochastic dynamic system,the market behavior of rational investors,bounded rational investors and irrational investors,was analyzed.That emotion operatorwas introduced into the behavior asset pricing model 、HS model and the three-factor asset pricing model to study the influence of asset pricing under the heterogeneous belief.The conclusions are as follows:（1）The mechanism and interaction between heterogeneous belief and investor sentiment are analyzed.The random dynamical system modelis further constructed,and the behavior evolution and the life-out process of the rational investor s,the bounded rational investors and the irrational investors in the market are also derived.Thesethree types of investors can be found in the market for a long time under the state of equilibrium.It is found that long-term heterogeneous beliefs are more stable,and the transformation requires a sudden change point.The volatility of asset price caused by investor sentiment,the more significant positive correlation exists between investor sentiment and the liquidity of financial market.Investor sentiment can accelerate the formation of asset price bubbles and the change of heterogeneous beliefs can make investors return to rational investment.（2）Constructs the heterogeneous beliefs and measure of investor’s emotion,according to the characteristics of variable selected the different dimensions of scientific argumentation and processing the data,verify the heterogeneous beliefs and investor sentiment is the heterogeneity of industry bands,heterogeneous beliefs and investor sentiment has influence to the stock market prices.（3）The interaction mechanism between heterogeneous belief and investor sentiment is revealed.There are significant double spillover effects between the two.The results of the model show that there is a significant double threshold eff ect between investor sentiment and heterogeneous belief in fact,which shows that the two have nonlinear relationship,and the quadratic term is significantly negative,showing inverted "U" type.According to the three intervals of threshold value,the inv estor sentiment is divided into three periods: high spirits period,calmness period and depression period.The PVAR model of the influence mechanism of the emotional factor and the stock market is constructed.（4）The emotion operator is brought into the asset pricing model and behavior asset pricing model,and the interaction mechanism between heterogeneous belief and investor sentiment is analyzed.The three interval periods of emotion operator are studied separately,and the interaction between different beliefs and heterogeneous beliefs is differentand the results of the influence on asset pricing are also different.After the comprehensive theoretical analysis and the empirical test,the paper puts forward Suggestions on the development of the stock mar ket from the perspective of supervision,investors and sentiment according to the results.This dissertation includes 21 figures,25 tables,209 references.