Regime-switching connectedness among European football clubs: a TVP-VAR analysis of volatility states and structural shifts

Purpose This study aims to investigate the dynamic interconnectedness among major publicly listed European football clubs, focusing on how return shocks propagate across club equities and whether these spillovers vary across volatility regimes. Design/methodology/approach Using daily stock return data computed from club-level stock prices, the authors estimate a time-varying parameter vector autoregressive (TVP-VAR) model combined with Hamilton’s Markov-switching framework to capture directional and regime-dependent spillover dynamics. To ensure robustness, the results are benchmarked against a conventional fixed-parameter VAR model following Diebold and Yilmaz (2012). Findings The findings reveal pronounced and time-varying interconnectedness among European football clubs’ stock returns, with heterogeneous roles in shock transmission across the network. Juventus consistently emerges as a dominant shock transmitter, whereas AIK, Fenerbahçe and FC Copenhagen predominantly act as net recipients. Other clubs display regime-dependent behavior, switching between transmitting and receiving roles depending on volatility conditions. Spillover intensity increases during high-volatility episodes, with major connectedness shifts observed around key structural events, including UEFA’s Financial Fair Play implementation and the COVID-19 pandemic. Overall, the results indicate reduced diversification opportunities and heightened sector-specific systemic risk during periods of market stress. Originality/value This study advances the football finance literature by modeling the directional transmission of shocks among football clubs’ stock returns. Unlike prior studies focusing on volatility dynamics or spillovers with external assets, it combines a TVP-VAR framework with a Markov-switching approach to capture regime-dependent connectedness among football club equities, providing new evidence on systemic dynamics in sports-related financial markets.