The airplanes use more fuel for longer flights then shorter flights. For each connection there is airport fees, landing fees and added fuel and maintenance for the airplane. So it costs the airliner more to sell you a longer connecting flight then a shorter direct flight.
The reason you even see the connecting flight is because airliners might have extra seats on the flights they do anyway and often decides to sell tickets at cost or even cutting all the fixed costs associated with the flight. So you end up just paying for the fuel and airport fee. The airline will not make much on this ticket but it will be better then not selling you a ticket at all and let a competing airliner sell you a direct ticket.
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