Do major health shocks affect the interconnectedness of E-commerce and electronic payment markets? a regional analysis

Samet Gunay (), Catherine Prentice () and Mohamed Sraieb ()
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Samet Gunay: American University of the Middle East
Catherine Prentice: University of Southern Queensland
Mohamed Sraieb: American University of the Middle East

Electronic Commerce Research, 2024, vol. 24, issue 4, No 7, 2353-2379

Abstract: Abstract In view of the recent pandemic and its associated impact, this study examines the relationship between e-commerce and mobile/electronic payment markets by utilizing two indices as proxies of these market developments. The study employed DCC-GARCH modeling, Hacker–Hatemi bootstrap causality test, Diebold–Yilmaz volatility spillover analysis and a volatility modeling incorporating COVID19 related death statistics of three regions: America, Europe and Asia. The results show that while the two markets display very high time-varying correlations across years, a significant causal relationship is only found during the pandemic. Causality runs from the mobile/electronic payment index to the e-commerce index. Volatility spillover analysis further supports this finding. Interestingly, the mobile/electronic payment index tends to become a net volatility transmitter in the pandemic period. When we incorporate regional COVID19 statistics on cases and deaths in the volatility modeling of the e-commerce index, we find that only COVID19 deaths in Europe have a significant effect on e-commerce returns. This result may be rationalized by the relative tightness of the e-commerce market in Europe compared to America and Asia. Likewise, demographic characteristics might be another potential driver for our findings.

Keywords: The COVID19 pandemic; E-commerce index; Electronic payment index (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10660-022-09669-y

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