Why Opera browser is less supported by web sites than IE, FF and Chrome?
IE understanding, but why less than FF and even Chrome?
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It all depends on what part of the world. Overall, yes Opera is the least used browser, but there are places like the Ukraine and Belarus, it's the most used browser. You can see some stats here: http://gs.statcounter.com/
Also, Opera is used a lot on mobile and console devices because of their compression services.
Opera is generally less supported because it has a lower market share. It has stayed consistent around 1% for the past 5 years while other browsers have been released and "broken through".
Many people don't see a reason to invest time into testing in Opera. It's also a singular entity in its own right - IE obviously has a lot of market share, and the Gecko and Webkit engines cover a huge ground. You can test in Chrome and assume it will look the same in Safari. But Opera is on its own.
As for why people don't use Opera, there are many schools of thought on the issue. Often it's attributed to the browser being very user-unfriendly and only for power users. Sometimes it's attributed to a lack of advertising.
IE and Safari have it easy since they come with everyone's computers. Firefox became popular via the open source movement (and is standard for all Linux installs). Finally, Chrome has the biggest internet company in the world behind it and advertising it.