大量實證研究顯示能源與金融市場緊密相連。天然氣是世界上使用最廣的能源之一，日交易量極大。為回避天然氣現貨市場的風險，有大量避險工具可供選擇，尤其是快速發展的天然氣金融衍生品。這些避險工具包括天然氣期貨、選擇權以及指数股票型基金（ETF）。波動率溢出效應是指一種資產的回報率的衝擊對其他資產的波動性及共變異的滯後的衝擊。研究能源與金融市場的波動率溢出效應，對於構建最優動態避險策略有重大意義。本文使用多元動態條件共變異數模型，檢測并計算了天然氣現貨、期貨及指數股票型基金市場間的波動率溢出效應。本文使用了天然氣現貨及期貨數據，其中期貨數據來自美國的紐約商業交易所（NYMEX）及洲際交易所（ICE），还使用了美國與英國的股票指數型基金（ETF）的數據。實證結果顯示，天然氣現貨、期貨與股票指數型基金的波動率溢出效應十分顯著，且英美兩國皆是如此。這一結果表明，為天然氣現貨構建最優動態避險組合時，兩國的天然氣期貨及股票指數型基金都是可供選擇的工具。

There is substantial empirical evidence that energy and financial markets are closely connected. As one of the most widely-used energy resources worldwide, natural gas has a large daily trading volume. In order to hedge the risk of natural gas spot markets, a large number of hedging strategies can be used, especially with the rapid development of natural gas derivatives markets. These hedging instruments include natural gas futures and options, as well as Exchange Traded Fund (ETF) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock in one physical, biological or financial asset on the subsequent volatility or co-volatility of another physical, biological or financial asset. Investigating volatility spillovers within and across energy and financial markets is a crucial aspect of constructing optimal dynamic hedging strategies. The dissertation tests and calculates spillover effects among natural gas spot, futures and ETF markets using the multivariate conditional volatility diagonal BEKK model. The data used include natural gas spot and futures returns data from two major international natural gas derivatives markets, namely NYMEX (USA) and ICE (UK), as well as ETF data of natural gas companies from the stock markets in the USA and UK. The empirical results show that there are significant spillover effects in natural gas spot, futures and ETF markets for both USA and UK. Such a result suggests that both natural gas futures and ETF products within and beyond the country might be considered when constructing optimal dynamic hedging strategies for natural gas spot prices.

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