Of course, my first question is if you don’t want to go into business, why major in business?
My second question is…why do you want to “further your education” rather than work in industry? I’m a bit confused by your statement. The purpose of getting a graduate degree is to do a certain type of work, not to avoid working. You get a PhD in a field because you love research in that field, and you want to further knowledge in the field, and do some kind of work that requires the PhD in that field - usually academia, but also research at other kinds of organizations. If you haven’t majored in psychology or economics, how can you know that you might like a PhD in those fields? Do you have a specific interest in answering unanswered questions in the field in some area? Why do you want the PhD? Is it simply to delay working because you’re unsure what you want to do or because you didn’t like your internship?
Really, the solution to not liking the work you’ve done so far is to work in something else, not go to graduate school. I advise you to get some research experience first to see if you even like it; that will help you decide whether or not you want or need to go get a PhD (and in what). Besides, you will need it to gain admission anyway (see below). But without more information, it kind of sounds like you like taking classes more than liked some kind of work experience you had. But graduate school is a completely different animal from undergrad; wanting to do it because you don’t really want to work after college is a really, really bad reason. (If I have misinterpreted your statement, I apologize.)
If you want a PhD in psychology, you would need to take some courses in psychology (at least 5-7; the equivalent of a major is better) and get some research experience (at least 2-3 years). You can get that experience by assisting a professor in their research lab. If you are a freshman or sophomore, you still have time to get enough research to be relatively competitive; if you are already a junior, though, that means you’d have pretty much none by the time you apply in the fall, and you wouldn’t be competitive. You’d have to work for some years and get some post-college - a lot of people do this by working as research coordinators or lab managers in psychology departments (or related ones, like in education, public health, psychiatry, etc.)
You also wouldn’t be competitive for a good PhD program in economics. Those programs are insanely competitive - Stanford gets 700 applications for 50 slots. You would not only need the equivalent of an undergraduate major in economics; you would also need a heavy mathematical background (three semesters of calculus, 1-2 semesters of statistics and probability, linear algebra, and probably also real analysis and perhaps differential equations). You’d also need some research experience - at least an independent study or thesis in economics.
You would probably be eligible for a PhD in management assuming that you have some management coursework. I think they also like to see some research experience, too, though. Again, if you are a sophomore or below you have some time to get some. Honestly, I think a PhD in management would be your best bet because of your preparation, but also because of job prospects. If you wanted to go into academia, there’s actually a shortage of well-prepared business professors; they get paid more than psych professors, and you can also take your PhD into industry. Economics would be even more lucrative but you don’t have the undergrad preparation for it (you could take the time to get it, perhaps getting an MA in economics).