The impact of environmental factors on decisions and their implications to the digital economy, market sustainability and social and economic welfare

环境因素对决策的影响及其对数字经济、市场可持续性以及社会和经济福利的影响

基本信息

批准号：
ES/T009209/1
负责人：
金额：
$ 11.18万
依托单位：
University of Southampton
依托单位国家：
英国
项目类别：
Fellowship
财政年份：
2019
资助国家：
英国
起止时间：
2019 至无数据
项目状态：
已结题

来源：
https://gtr.ukri.org/projects?ref=ES%2FT009209%2F1
关键词：
impact environmental factors decisions their

项目摘要

The results of my PhD research provide concrete evidence of the economic importance in investigating sources of market inefficiency that can be attributable to investors' sub-optimal decisions that are linked to environmental conditions. Using advanced modelling techniques, I was able to identify a series of conditions that affected investors' rational reasoning processes that, consequently, led to substantial market inefficiencies. Importantly, I showed that the economic welfare loss attributable to such market inefficiency factors could be greatly mitigated by identifying and correcting for conditions in which individuals may make sub-optimal asset price estimations. My research aims during the PDF fellowship are: First, I will strive to consolidate my PhD research by working towards publishing the research conducted in my PhD at prestigious and high impact factor journals, attending conferences, seminars and engaging with academic and non-academic audiences to generate impact and receive feedback on my work. Second, I will aim to undertake limited additional research to extend the findings of my PhD research to a relatively unexplored market, namely the cryptocurrency market. This market has great potential in affecting the stability of digital economies, possibly impacting the social and economic welfare of millions of people. For instance, the digital economy has been fundamental in facilitating the development of technological advancements aimed at enhancing socio-economic welfare. The creation of cryptocurrencies is without a doubt a pertinent financial technology innovation that is in the forefront of shaping the contemporary economic paradigm. With current market capitalisation surpassing $200 billion, their importance to the economy is substantial. Previous studies have shown that there are important cryptocurrency pricing characteristics that can threat market stability and, consequently, lead to large economic welfare losses. In particular, the market for cryptocurrencies have been shown to be informationally inefficient (Cheah et al., 2018; Urquhart, 2016), exposing cryptocurrencies to high volatility in returns (Katsiampa, 2017) and large price bubbles and market crashes (Fry and Cheah, 2016).Unfortunately, as important as the issue outlined above might be, a review of the existing literature shows that there are no significant research attempts to understand the causes of market inefficiency observed in cryptocurrency markets. Cheah and Fry (2015) conjecture that market inefficiency in cryptocurrencies might be caused by breaches of decision-making rationality as investors may resort to heuristics and cognitive biases. Motivated by this conjecture, the additional research proposed aims to investigate the causes of market inefficiency that are related to sub-optimal pricing behaviour attributable to breaches of investor rationality that may be related to environmental conditions. This entails empirically exploring the sources of heuristics and cognitive biases that can affect efficiency of cryptocurrency markets, and the development of risk management and hedging strategies to accommodate and mitigate the identified negative economic effects of sub-optimal decision-making displayed by investors in cryptocurrency markets. The theoretical framework of the additional research proposed will be supported by literature available in behavioural finance and decision-making psychology. Advanced quantitative modelling will be used to empirically investigate the research objectives. I am confident the proposed research plan is an important step towards understanding the causes of market inefficiency in cryptocurrency markets, where the framework, model and the preliminary findings as outcomes of this additional research will constitute bases for further studies and, hence, are likely to be published in highly rated academic journals.

我的博士研究结果提供了具体的证据，证明了调查市场效率低下的经济重要性，这可能归因于投资者与环境条件相关的次优决策。使用先进的建模技术，我能够确定一系列影响投资者的理性推理过程的条件，从而导致了实质性的市场效率低下。重要的是，我表明，可以通过识别和纠正个人可以进行亚最佳资产价格估算的条件来大大减轻这种效率低下的因素的经济福利损失。我在PDF奖学金期间的研究目的是：首先，我将努力通过在我的博士学位上发表著名且高影响力因素期刊的研究来巩固我的博士研究，并参加会议，研讨会并与学术和非学术受众互动，以对我的工作产生影响并接收反馈。其次，我的目标是进行有限的其他研究，以将我的博士学位研究的发现扩展到相对尚未开发的市场，即加密货币市场。这个市场在影响数字经济体的稳定性方面具有巨大的潜力，可能会影响数百万人民的社会和经济福利。例如，数字经济一直是促进旨在增强社会经济福利的技术进步发展的基础。毫无疑问，加密货币的创建是一项相关的金融技术创新，这是塑造当代经济范式的最前沿。随着目前的市值超过了2000亿美元，它们对经济的重要性是巨大的。先前的研究表明，存在重要的加密定价特征，可能会威胁市场稳定，从而导致巨大的经济福利损失。特别是，加密货币市场已被证明是无效的（Cheah等，2018; Urquhart，2016年），暴露于回报率高（Katsiampa，2017年，2017年）和大量的气泡和市场崩溃（Fry和Cheah，2016）。研究试图了解加密货币市场中观察到的市场效率低下的原因。 Cheah and Fry（2015）猜想加密货币的市场效率低下可能是由于违反决策合理性而引起的，因为投资者可能会诉诸启发式和认知偏见。在这种猜想的推动下，拟议的其他研究旨在调查与可能与环境条件有关的违反投资者合理性的违反投资者合理性的次级定价行为有关的市场效率低下的原因。这需要经验探索可能影响加密货币市场效率的启发式和认知偏见的来源，以及风险管理和对冲策略的发展，以适应和减轻投资者在加密货币市场中所显示的投资者所显示的亚最佳决策的负面经济影响。提出的其他研究的理论框架将得到行为金融和决策心理学中可用的文献。先进的定量建模将用于经验研究研究目标。我相信拟议的研究计划是了解加密货币市场中市场效率低下的原因的重要一步，在该市场中，框架，模型和初步发现是这项其他研究的结果将构成进一步研究的基础，因此很可能在高度评价的学术期刊中发表。