Abstract
Two methods for identifying bull and bear markets in stock indices are developed and applied to a long period of U.S. stock market data. Turning points in the stock market are documented and the characteristics of the bull and bear markets identified are examined. Results show that significant bull and bear markets do exist in stock market returns, that the returns in these two states differ significantly, and that these states tend to persist for some time. The returns during the first six months of a bull market are found to be higher than those in the remaining months. Over the time period studied, the gains in bull markets have become greater, as have the losses during bear markets. The analysis appears to imply that seasonalities could be related to bull and bear markets.