FinTech and fan tokens: Understanding the risks spillover of digital asset investment

Digital asset investment represents a new class of assets to invest in. In recent months, fan tokens have been among the most popular digital assets among football clubs and investor fans. Therefore, understanding the dynamics and spillover effects between these new and traditional assets is essential for risk management. In this study, we use daily data covering November 2020 and December 2022 to examine the mean and volatility risks spillover between the stock market and the fan token ones. Using the VAR-BEEK-AGARCH model and wavelet frequency analysis, we are able to identify the sender and receiver characteristics of the risks between the two assets. Our results show that volatility spillovers are more persistent in the long run, suggesting a strong interdependence between the stock market and fan tokens. Our empirical findings can be helpful for portfolio managers and investors.