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证据，证明了调查市场低效率根源的经济重要性，这种低效率可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，我能够识别出一系列影响投资者理性推理过程的条件，从而导致市场效率大幅低下。重要的是，我表明，通过识别和纠正个人可能做出次优资产价格估计的条件，可以大大减轻由于此类市场效率低下因素造成的经济福利损失。我在 PDF 奖学金期间的研究目标是：首先，我将努力巩固我的博士研究，努力在著名的高影响因子期刊上发表我的博士研究成果，参加会议、研讨会以及与学术和非学术受众互动产生影响并接收对我的工作的反馈。其次，我的目标是进行有限的额外研究，将我的博士研究成果扩展到一个相对未经开发的市场，即加密货币市场。这个市场在影响数字经济的稳定性方面具有巨大的潜力，可能会影响数百万人的社会和经济福利。例如，数字经济对于促进旨在提高社会经济福利的技术进步至关重要。加密货币的创造无疑是一项相关的金融技术创新，处于塑造当代经济范式的最前沿。目前市值超过 2000 亿美元，它们对经济的重要性是巨大的。之前的研究表明，加密货币的一些重要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信息效率低下（Cheah 等人，2018；Urquhart，2016），使加密货币面临回报的高波动性（Katsiampa，2017）以及巨大的价格泡沫和市场崩溃（Fry 和 Cheah），2016）。不幸的是，尽管上述问题可能很重要，但对现有文献的回顾表明，没有显着的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 和 Fry（2015）推测，加密货币市场效率低下可能是由于投资者可能诉诸启发法和认知偏差而违反决策理性造成的。受这一猜想的推动，提出的额外研究旨在调查市场效率低下的原因，这些原因与次优定价行为有关，而次优定价行为可归因于投资者理性的违反，而这可能与环境条件有关。这需要根据经验探索可能影响加密货币市场效率的启发法和认知偏差的来源，并制定风险管理和对冲策略，以适应和减轻加密货币市场投资者表现出的次优决策所带来的已确定的负面经济影响。所提出的额外研究的理论框架将得到行为金融学和决策心理学领域现有文献的支持。将使用先进的定量模型对研究目标进行实证研究。我相信拟议的研究计划是理解加密货币市场效率低下原因的重要一步，其中框架、模型和初步研究结果作为这项额外研究的结果将构成进一步研究的基础，因此很可能发表在高评价的学术期刊上。