Sports tokens and sports equities: A downside tail risk analysis with portfolio implications

Abstract

In this study, we examine risk spillover across sports tokens, sports equities and other traditional assets via the quantile-VAR model. Our static analysis results show that token BAR causes significant shocks to this system. In contrast, from the lower quantile, the USD is not only the highest contributor in the network but also the highest receiver. Notably, OG is the dominant contributor to the system. The portfolio analysis using the minimum connectedness portfolio shows possible portfolio benefits from using sports tokens. Our results provide valuable information for market participants to curb their asset management risk.