Electronic commerce is a new phenomenon in the financial markets. Due to the nascent development of e-commerce, we hypothesise that new economic issues regarding e-commerce are emerging that have wide macroeconomics and e-commerce stock valuation implications and therefore public policy relevance. The growth of the e-commerce sector is largely driven by the emergence of the knowledge economy. This paper develops a new model (the AEMM model) for the estimation of e-commerce stock valuation specifying macroeconomic factors. The model consists of several local and international factors that influence a particular financial market, namely, the Australian financial market. The factor identification process in this study seeks to ensure that equity investments in the e-commerce sector will maximise financial return when these variables are included in the risk analysis. This paper adopts an important and recent approach to econometric specification, estimation and testing in relation to e-commerce stock valuation. The AEMM model along with some other quantitative methods is used to address other financial issues in the e-commerce sector. Econometric analyses including stationarity tests, cointegration modelling, volatility and predictability analyses and efficient market hypothesis checks are performed. Using the model, forecasts can be made with the appropriate variable values as well. Since the macroeconomic pervasive factors are tested to be significant for e-commerce sector financial issues, their characteristics permeate beyond sectorial boundary and have economy- and global-wide/Asian regional implications and inferences. The empirical findings of this Australian study and their implications for public policies for Asia (including India) are stated.