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<p>This study explores the dynamic relationships between fan tokens of global football clubs, major cryptocurrencies (BTC, ETH, and XRP), and uncertainty indices (VIX, GVZ, and OVX) across different market conditions and time scales using advanced time-series models such as quantile frequency connectedness, wavelet quantile correlation (WQC), and quadruple wavelet coherence (QWC) analysis. The results show that fan tokens play dynamic roles as shock transmitters and receivers, with stronger short-term spillovers to cryptocurrencies under extreme market conditions. Under bearish markets <InlineEquation ID="IEq1"> <EquationSource Format="TEX">\((\tau =0.05)\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mo stretchy="false">(</mo> <mi>τ</mi> <mo>=</mo> <mn>0.05</mn> <mo stretchy="false">)</mo> </mrow> </math></EquationSource> </InlineEquation>, PSG and BAR are key shock transmitters, while BTC and XRP absorb market volatility. In bullish conditions <InlineEquation ID="IEq2"> <EquationSource Format="TEX">\((\tau =0.95)\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mo stretchy="false">(</mo> <mi>τ</mi> <mo>=</mo> <mn>0.95</mn> <mo stretchy="false">)</mo> </mrow> </math></EquationSource> </InlineEquation>, BAR and GAL drive positive trends, with XRP remaining a shock absorber. The WQC analysis reveals that fan tokens act as diversifiers in normal markets but shift to hedging roles under stress. BAR and GAL display safe-haven properties against BTC and XRP, while CITY and SANTOS maintain strong correlations with ETH over medium- to long-term horizons. The QWC analysis further demonstrates that coherence patterns intensify around major sporting events, with negative outcomes—such as UEFA Champions League eliminations—generating stronger spillover effects than positive achievements. These findings highlight the significant role of fan tokens in portfolio diversification, especially during high-volatility periods.</p>

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Dynamic quantile frequency connectedness and dependence between global football club fan tokens, cryptocurrencies, and uncertainty indices

  • 期刊论文

  • 发表日期：

    2026年2月15日

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  • Oguzhan Ozcelebi,
  • Rim El Khoury,
  • Sang Hoon Kang

摘要

This study explores the dynamic relationships between fan tokens of global football clubs, major cryptocurrencies (BTC, ETH, and XRP), and uncertainty indices (VIX, GVZ, and OVX) across different market conditions and time scales using advanced time-series models such as quantile frequency connectedness, wavelet quantile correlation (WQC), and quadruple wavelet coherence (QWC) analysis. The results show that fan tokens play dynamic roles as shock transmitters and receivers, with stronger short-term spillovers to cryptocurrencies under extreme market conditions. Under bearish markets \((\tau =0.05)\) ( τ = 0.05 ) , PSG and BAR are key shock transmitters, while BTC and XRP absorb market volatility. In bullish conditions \((\tau =0.95)\) ( τ = 0.95 ) , BAR and GAL drive positive trends, with XRP remaining a shock absorber. The WQC analysis reveals that fan tokens act as diversifiers in normal markets but shift to hedging roles under stress. BAR and GAL display safe-haven properties against BTC and XRP, while CITY and SANTOS maintain strong correlations with ETH over medium- to long-term horizons. The QWC analysis further demonstrates that coherence patterns intensify around major sporting events, with negative outcomes—such as UEFA Champions League eliminations—generating stronger spillover effects than positive achievements. These findings highlight the significant role of fan tokens in portfolio diversification, especially during high-volatility periods.