Modelling systematic risk in the European football sector: Evidence from listed clubs and market indices

Over the past three decades, the global football market has grown significantly, with the financial sustainability of football clubs gaining increasing attention as an integral part of the global economy. This study contributes to the limited research by modelling systematic risk in the European football sector between January 3, 2013, and November 9, 2023. To this end, we use a multivariate GJR–DCC–MVGARCH model to estimate risk measures (VaR, CoVaR, ΔCoVaR, MES, and SRISK). Daily return data from six European clubs (Olympique Lyonnais, Borussia Dortmund, Juventus, FC Copenhagen, Sporting Lisbon, and Manchester United) and their respective indices (CAC 40, DAX, FTSE MIB, OMX, PSI, and S&P 500) reveal moderate correlations with national indices, except for Manchester United, which shows a negative correlation with the S&P 500. Risk analysis uncovers heightened volatility during crises, notably the COVID-19 pandemic, with clubs like Juventus and Olympique Lyonnais exceeding VaR estimates, indicating financial vulnerability. The ΔCoVaR analysis shows varying interconnections, with Juventus and Borussia Dortmund strongly correlated with market risks, while FC Copenhagen and Olympique Lyonnais are less interconnected. The MES and SRISK analysis highlights differences between clubs, with some being particularly vulnerable, while others, like Manchester United and Sporting Lisbon, show resilience. Robustness tests with sub-period and quantile beta analyses confirm regime-dependent and nonlinear risk exposures, underscoring the heterogeneous profiles of clubs. These findings provide targeted insights for investors, managers, and regulators in managing risks and supporting financial stability in the football sector.