本研究以台灣50ETF及美國SPDR為主要研究對象並以大盤指數及利率為解釋變數，研究期間取自2007年11月1日至2011年10月31日止，並將市場區分為多、空頭期間。以GJR GARCH模型探討台灣及美國ETF市場於多、空頭市場下其大盤指數報酬及利率對ETF報酬之序列關係是否存在差異性，並實證台灣與美國ETF市場是否存在波動不對稱性，及於多、空市場下是否存在差異性。 實證結果顯示，台灣及美國市場其大盤指數報酬對ETF報酬確實具有高度正向影響關係。在全樣本期間及多頭市場下，台灣及美國市場其利率對於其ETF報酬均呈現正向影響關係，並無差異；但於空頭市場下，台灣與美國市場其利率對ETF報酬之影響則存在差異性。波動不對稱性方面，美國ETF市場無論於多頭或空頭市場均顯著呈現非預期負向訊息對市場所造成之波動大於非預期正向訊息，市場存在波動不對稱；而台灣ETF市場於空頭期間實證結果則不具顯著性。 This study investigates Taiwan 50ETF and SPDR in America based on aggregating index number and its interest rates with its time duration from November 1st of 2007 to October 31st of 2011. The market is distinguished between long position and short position periods. This paper discusses whether there is any difference between the aggregating index number and interest rates of the Taiwanese and American ETF markets to ETF rewards under the condition of long and short position markets, taking GJR GARCH for example. Furthermore, it demonstrates from true examples whether there is any fluctuation asymmetry of Taiwanese and American ETF markets and if there is any difference under bull and bear index market. As is shown in the empirical results, there are indeed high positive influence relationships for the aggregating index number to ETF rewards in Taiwan and America markets. Under complete sample and long position markets, the interest rates of Taiwan and America markets to ETF reports are all positive influence relationships without any difference; however, under short position market, there are differences between the interest rates of Taiwan and America markets to ETF rewards. In the aspect of fluctuation asymmetry, there is unexpected negative information that the American ETF market can affect the long and short position market which is more than unexpected positive information, and the market is fluctuant and unsymmetrical. However, during short position period, the result of Taiwanese ETF market is not significant.