由歷史價格波動可以發掘金融和能源市場之間存在本質上的關係，其關係可以透過分析它們之間的溢出效果來檢驗，即在現貨與期貨市場，檢驗不同金融與能源資產的報酬震盪如何相互影響隨後的共波動率。衍生性金融商品，可以代表其標的資產的價格波動，也可以使原本無法買賣的標的資產在現貨和期貨兩個市場交易，包括指數股票型基金（ETF），這是一種可交易的現貨指數，其目的是複製一個潛在的標的指數報酬。當ETF期貨無法取得以檢驗其溢出效果時，可以利用生成變數來建構金融ETF期貨和能源ETF期貨。本文的目的是研究美國現貨與期貨市場內，金融部門與能源部門間與部門內的共同波動溢出效果，並利用生成變數和多變量波動率模型對角化BEKK。使用的資料為自1998年12月23日至2016年4月22日的日資料。資料分析之時間區隔除了整體時間樣本，也將時間切割為三個時間子樣本，即金融海嘯前、金融海嘯其間與金融海嘯後。實證結果發現在現貨和期貨市場的金融ETF和ETF能源之間有顯著的共波動溢出效果。因此，從風險管理的角度而言，金融和能源ETF適合構建一個金融投資組合，以達動態避險的目的。

It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the underlying indices but can also be traded on both the spot and futures markets, include Exchange Traded Funds (ETFs), which is a tradable spot index whose aim is to replicate the return of an underlying benchmark index. When ETF futures are not available to examine spillover effects, “generated regressors” may be used to construct both Financial ETF futures and Energy ETF futures. The purpose of the paper is to investigate the co-volatility spillovers within and across the US energy and financial sectors in both spot and futures markets, by using “generated regressors” and a multivariate conditional volatility model, namely Diagonal BEKK. The daily data used are from 1998/12/23 to 2016/4/22. The data set is analyzed in its entirety, and also subdivided into three subset time periods. The empirical results show there is a significant relationship between the Financial ETF and Energy ETF in the spot and futures markets. Therefore, financial and energy ETFs are suitable for constructing a financial portfolio from an optimal risk management perspective, and also for dynamic hedging purposes.

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