Identifying Bull and Bear Periods in Iran's Stock Market Using a Non-parametric Approach

In this paper, we used Iranian stock market data (TEPIX) to identify the bull and bear phases and to analyze their characteristics during the period of 1991-2017 using a non-parametric approach. Having determined bull and bear phases, we calculated the following five indices (durations, amplitudes, cumulative movements, excess movements and ratio of big expansions and contractions) using a non-parametric approach. The results showed that there are some common facts about the cycles that average duration and amplitudes of the bull market are longer than that of the bear market which are also true in Iran Stock Market. However, the excess index of the bull market is not larger than that of the bear market in Iran. We also found that bull phases are longer and more intense (larger amplitude) than bear phases and the rate of the growth index in the bull periods is higher than the rate of its slowdown in bear periods