* SFO, OFT both launch investigations
* JJB says granted immunity from OFT in exchange for info
* Says suspected cartel activity from Jan 2007-Mar 2009
* Sports Direct says "cooperating fully"
* Shares in JJB Sports, Sports Direct drop
(Adds more Sports Direct comment)
By James Davey and Laurence Fletcher
LONDON, Sept 10 (Reuters) - Britain's Serious Fraud Office (SFO) and its consumer affairs watchdog are both investigating allegations of fraud and anti-competitive activities in the sports retail market, dominated by JJB Sports and Sports Direct.
News of the probes sent shares in JJB and Sports Direct, which is controlled by billionaire Mike Ashley, down by as much as 17.4 percent and 21.5 percent respectively.
The probes follow an approach to the Office of Fair Trading by JJB with information in exchange for immunity.
The OFT then referred the case to the SFO, which on Thursday said it had launched its own investigation into JJB and Sports Direct, Britain's largest sporting goods retailer.
The OFT said on Thursday it had executed entry warrants at two addresses as part of its investigation, which it added was at an early stage.
JJB Sports said it had approached the OFT on Jan. 30 with information about "a suspected agreement or concerted practice to dampen competition".
OFT officers visited its offices in Wigan, North West England, earlier on Thursday, the company said.
JJB said the OFT confirmed on Aug. 24 the grant of a form of immunity to the firm in respect to suspected cartel activity in the period from June 8, 2007, to March 25, 2009 -- a time when Chris Ronnie was chief executive at the company.
The OFT confirmed on Thursday that it had granted JJB immunity.
JJB suspended Ronnie on Jan. 20 and fired him on March 25, alleging gross misconduct. Since his dismissal, Ronnie has been engaged in a war or words with JJB and its executive chairman David Jones.
A spokesman for Ronnie had no immediate comment.
Sports Direct said representatives from the OFT and SFO had visited its head office in Shirebrook, central England, on Thursday.
The company said it was "assisting and cooperating fully" with both agencies but denied that it had acted in an anti-competitive manner.
"Sports Direct's philosophy is to promote competition in the sports and leisure market and its record demonstrates this," it said.
IMMUNITY
JJB said if the OFT concluded it had infringed competition law, the grant of the marker for "Type A" immunity, which the OFT gives when information is volunteered before an investiation is started, would give it immunity from any financial penalty.
"The whole system is designed (so that) if you think that you have got something (information), it does pay for you to go running first to try and get a marker," said David Stoddart, analyst at Altium Securities.
If the immunity was to to be withdrawn, JJB could be liable for a fine of up to a maximum of 10 percent of its turnover and could also be liable for third party claims, JJB said.
However, the company added it considered the likelihood of these outcomes to be low.
The SFO declined to comment on possible immunity regarding its investigation.
At 1301 GMT, JJB shares were down 3.75 pence at 35.14 pence, while shares in Sports Direct were down 19.9 pence at 110.45 pence.
In 2003 the OFT imposed fines totalling nearly 19 million pounds ($31.44 million) on 10 companies including JJB, Umbro and Manchester United for fixing the price of replica football shirts.
News of the OFT and SFO probes came a day after England's soccer team confirmed their place in next year's World Cup in South Africa with a win over Croatia, a development which is expected to give a major boost to replica shirt sales. (Additional reporting by Mark Potter and Rhys Jones; editing by Karen Foster)