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Nearly half of all residents in Luxembourg buy goods abroad online, giving them access to a wider choice of products.
Data analysts CEPS/Instead found that four in every 10 people in the country bought items abroad via websites compared with the EU average of just one in 10 people.
The study says that the phenomenon is largely explained by Luxembourg's diminutive size.
Because there is a limited number of shops and therefore choice, consumers are forced to look over the border to view a wider range of goods. And it is not unique to Luxembourg.
Cross-border e-commerce was also more common in other small nations such as Denmark, Malta, Sweden, Holland and Austria.
Shopping abroad without the internet also appears to be a common trait in the Grand Duchy. In general half of Luxembourg residents will go over the border to buy goods and services, the highest proportion of any country in the EU.
The study suggested that couples were most likely to buy abroad online.
Male residents aged between 25 and 34 and working in a traditional profession were also more likely to order goods from abroad than in Luxembourg.