Previous literature on consumer behavior has tackled the experiential approach in retailing services in depth; however, most of the previous studies have concentrated on the simultaneous but not concatenated effects of value dimensions on satisfaction and/or loyalty. Furthermore, tourists' shopping behavior remains an underdeveloped area of study from the experiential perspective. This work explores experiential tourist shopping value, aiming to (a) explain tourists' loyalty to retailers by adding causality to experiential dimensions and (b) prove the subjectivity of these values. After a diachronic and synchronic review of the literature on experiential shopping value, a structural model with a chain of effects consisting of product quality, service quality, self‐esteem and shopping enjoyment on loyalty, and a multidimensional index as a second‐order model were built with partial least squares and tested on a purposive sample of 374 tourists in Valencia (Spain). Our findings revealed a sequential approach to tourists' shopping experiences where utilitarian values led to social and hedonic ones, all of which were antecedents of loyalty to retailers. Furthermore, the index showed differences by gender and nationality. Although our results are context specific, they add to the value creation process as they show a sequence of effects, and a fully subjective value provision, which changes according to demographics. The originality of this work is that it contributes to the suitability of the experiential paradigm in explaining tourists' shopping behavior by promoting interest in this specific, underdeveloped target area, and also by adding causality and proving the subjectivity of experiential value dimensions.