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

Author

Listed:
  • Samet Gunay

    (American University of the Middle East)

  • Catherine Prentice

    (University of Southern Queensland
    Griffith University
    Staffordshire University)

  • Mohamed Sraieb

    (American University of the Middle East)

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.

Suggested Citation

  • Samet Gunay & Catherine Prentice & Mohamed Sraieb, 2024. "Do major health shocks affect the interconnectedness of E-commerce and electronic payment markets? a regional analysis," Electronic Commerce Research, Springer, vol. 24(4), pages 2353-2379, December.
    • Handle: RePEc:spr:elcore:v:24:y:2024:i:4:d:10.1007_s10660-022-09669-y
    DOI: 10.1007/s10660-022-09669-y
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