Abstract：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.

Keyword：investor behavior; asset price bubble; stock market; market sentiment; periodically collapsing bubbles; systemic risk; unit root related process;