Abstract
This paper examines the dynamic connectedness among the fan tokens and their corresponding stocks using the TVP-VAR approach. We use daily data from December 11, 2020, to January 31, 2022, for the Juventus FC, AS Roma, Galatasaray, and Trabzonspor tokens and stocks. Our results indicate that shocks transmitted to any token are larger than the ones to the stocks, with the tokens being the net transmitters of shocks to both the tokens and stocks. Then, our results indicate that the two asset classes are considered independent of each other, with the total connectedness decreasing over time, and indicating that less than 10% of the contributions in any token (stock) is from the stocks (remaining stocks). This implies that the idiosyncratic contributions to the variations in the utilized group of assets are considerably low when compared to the system contributions. Finally, we provide some implications for investment and portfolio management.
| Original language | English |
|---|---|
| Article number | 101780 |
| Journal | Research in International Business and Finance |
| Volume | 63 |
| DOIs | |
| Publication status | Published - Dec 2022 |
Bibliographical note
Funding Information: This researchdid not receive any specific grant from funding agencies in the public,commercial, or not-for-profit sectors. Publisher Copyright: © 2022 Elsevier B.V.Other keywords
- Asset returns
- Connectedness
- Fan tokens
- Football clubs
- Spillover
- TVP-VAR