Major health shocks and the interconnectedness of E‑commerce and electronic payment marketsResearch Seminar entitled “How major health shocks affect the interconnectedness of E‑commerce and electronic payment markets”.
Date and Time: 23 June 2023, Friday, 8:30-9:15 (Budapest time)
Venue: online on Microsoft Teams
Organiser: Institute of Finance
Samet Gunay: How major health shocks affect the interconnectedness of E‑commerce and electronic payment markets
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 DCCGARCH modeling, Hacker–Hatemi bootstrap causality test, Diebold–Yilmaz volatility spillover analysis, and a volatility modeling incorporating COVID-19-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 COVID-19 statistics on cases and deaths in the volatility modeling of the e-commerce index, we find that only COVID-19 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.
Please note that this event will be held online on Microsoft Teams.
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