On the contrary, the proposition of investors' beliefs heterogeneity is more close to the reality of the stock markets, in which investors are not in the perfect rationality. The very investors have heterogeneous personality, risk preferences, perceptions on the market information, different attitudes and sentiments, which in return affect the market and the stock prices. This paper studies the mechanism of emergence of heterogeneity beliefs and the impact on the stock prices. The empirical results suggest that there is a cointegrational Granger causeeffect relationship between institutional investors' belief heterogeneity and stock market price index. Furthermore, the impulse test indicates that irrational sentiments and beliefs pose a complex chaotic shock on the price system.