Hearing voices from the sky is sometimes viewed as a psychological problem where the person is in need of help. However, in the case of Jesus at his baptism, it was not a psychological event but a confirmation of his ministry from God, the Father!
According to William Barclay, the two sentences strike an important chord in the minds of the Jews because each is a quotation that describes the Messiah. The first is Psalm 2:7, describing the king who was to come, and the other is Isaiah 42:1, which is the Suffering Servant.