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

被引：14
作者：
Foglia, Matteo [1 ]
Maci, Giampiero [2 ]
Pacelli, Vincenzo [3 ]
机构：
[1] Aldo Moro Univ Bari, Dept Econ & Finance, Taranto, Italy
[2] Univ Foggia, Dept Econ, Foggia, Italy
[3] Aldo Moro Univ Bari, Ionian Dept Legal & Econ Syst Mediterranean Soc, Environm, Cultures, Taranto, Italy
来源：
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2024年 / 68卷
关键词：
FinTech; Fan token; Emerging technologies; Football clubs; Risk spillover; Digital asset investment; STOCK;
D O I：
10.1016/j.ribaf.2023.102190
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页数：14
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