Time-varying connectedness between sport cryptocurrency and listed European football stocks: evidence from a LASSO-VAR approach

Abstract

Digital assets and the traditional financial sectors are increasingly interacting. In the field of cryptocurrency, the combination with the sports industry has received attention from fans and clubs, media, and academic circles. Based on the LASSO-VAR model which is suitable for large samples, this article investigates the connectivity between sports cryptocurrency Chiliz (CHZ) and listed European football club stocks. The results show that there is a certain interrelatedness among the selected assets, and it becomes closer with the outbreak of major emergencies. In addition, CHZ is a net recipient of spillovers, while club stocks show diversification. Our results are helpful for club fans, individual and institutional investors, market regulators, and policymakers to make correct decisions.