EXUBERANCE, ASYMMETRIC VOLATILITY AND CONNECTEDNESS IN FAN TOKENS

In this paper we provide an empirical investigation on some properties of fan tokens of football clubs. Fan tokens are collectible virtual tokens mainly minted on the Socios Blockchain (using the Chiliz cryptocurrency) providing the opportunity to influence club's decisions, unlocking VIP rewards and access to exclusive promotions, games, chat, and a "superfan recognition". Fan tokens are a financial innovation that allows football clubs to retain and, at the same time, monetise their fan base without making any changes to their corporate and ownership structure and without being subject to the legal constraints that the issue of financial products would entail. As fan tokens are immaterial tokens based on a cryptocurrency, in this paper we fill a gap in the literature by studying to what extent several properties of cryptocurrency carry over to fan tokens. In particular, we investigate whether fan tokens exhibit (a) periods of exuberance, (ii) asymmetric volatility response to price changes and (iii) volatility connectedness among themselves and the Bitcoin and Chiliz cryptocurrencies. Our findings suggest that episodes of exuberance characterise the dynamics of fan token prices, that there is some evidence of reverse asymmetric response of volatility to price changes, and that total connectedness among fan tokens is quite sizeable and that most of them exhibit a rich dynamic with multiple reversal in terms of (net) transmitters and (net) receivers of shocks to the entire set of assets.