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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，证明了在调查市场效率低下的根源时的经济重要性，这些根源可以归因于投资者与环境条件相关的次优决策。利用先进的建模技术，我能够识别出一系列影响投资者理性推理过程的条件，这些条件最终导致了严重的市场效率低下。重要的是，我表明，经济福利损失归因于这种市场效率低下的因素，可以大大减轻识别和纠正的条件下，个人可能作出次优的资产价格估计。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，努力在著名的和高影响因子期刊上发表我的博士研究，参加会议，研讨会，并与学术和非学术观众互动，以产生影响并获得对我工作的反馈。其次，我将致力于进行有限的额外研究，将我的博士研究成果扩展到相对未开发的市场，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，数字经济在促进旨在提高社会经济福利的技术进步方面发挥了根本作用。毫无疑问，加密货币的创造是一项相关的金融技术创新，处于塑造当代经济范式的前沿。随着目前的市值超过2000亿美元，它们对经济的重要性是巨大的。此前的研究表明，加密货币的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信息效率低下的（Cheah等人，二〇一八年; Urquhart，2016），使加密货币面临高波动性的回报（Katsiampa，2017）和大的价格泡沫和市场崩溃（Fry和Cheah，2016）。不幸的是，与上述问题一样重要的是，对现有文献的回顾表明，没有重大的研究试图了解在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，加密货币的市场效率低下可能是由于决策理性的破坏，因为投资者可能会诉诸数学和认知偏见。出于这一猜想，提出的额外研究的目的是调查市场效率低下的原因，这些原因与次优定价行为有关，而次优定价行为可能与环境条件有关，而投资者的理性则可能受到破坏。这需要从经验上探索可能影响加密货币市场效率的认知和认知偏差的来源，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表现出的次优决策的负面经济影响。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文献的支持。先进的定量模型将用于实证研究的研究目标。我相信拟议的研究计划是理解加密货币市场市场效率低下原因的重要一步，其中框架，模型和初步发现作为这项额外研究的结果将构成进一步研究的基础，因此，很可能会发表在高评价的学术期刊上。