Compared with investing in individual stocks, ETF investment is capable of diversifying the non-systematic risk or exposure to broad market or industry sectors. The aim of this paper is to develop a jump contagion modeling framework to understand the contagion effect of market jump events of energy sector ETFs using multivariate Hawkes process modeling approach. Through analyzing intraday high-frequency market data, we find that negative index jumps lead index price discovery processes, and their influences disappear faster than the positive index jumps in both the S&P500 and the crude oil futures. And on average, the self contagion in negative jumps is stronger than the self contagion in the positive jumps across all ETF groups. However, the ETFs focused on the master limited partnership (MLP) segment show less negative self contagion and relatively stronger positive self contagion than the other energy ETFs. Overall, the influence of negative jumps on ETFs from both the equity index and the energy future index is stronger than that of the positive jumps. And the influence of the equity index (S&P500) jump on ETFs lasts longer than that of the crude oil futures index (CLC1).

与投资个股相比，ETF投资能够分散非系统性风险或对广泛市场或行业的敞口。本文的目的是开发一个跳跃传染建模框架，以使用多元霍克斯过程建模方法了解能源行业 ETF 市场跳跃事件的传染效应。通过对日内高频市场数据的分析，我们发现在标普 500 和原油期货中，负指数跳动领先于指数价格发现过程，并且其影响的消失速度都快于正指数跳动。平均而言，在所有 ETF 组中，负面跳跃的自我传染性强于正面跳跃的自我传染性。然而，与其他能源 ETF 相比，专注于主有限​​合伙 (MLP) 领域的 ETF 表现出较少的负面自我传染和相对更强的正面自我传染。总体而言，股指和能源期货指数的负跳对ETF的影响要强于正跳。而股票指数（S&P500）跳涨对 ETF 的影响持续时间比原油期货指数（CLC1）要长。