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RESEARCH PRODUCT

An Analysis of Bull and Bear Markets in the U.S. and Norway

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Master's thesis Business Administration BE501 - University of Agder 2017 There is no previous research on the dating of bull and bear cycles in the Norwegian stock market. Even for the U.S., few researchers have conducted a thorough analysis of the bull and bear markets. The purpose of this thesis is to provide an analysis of bull and bear markets in the U.S. and Norway from 1914 to 2016. Bull and bear markets are identi ed using a formal dating method. We divide our datasets into two sub-periods, to account for the robustness of our results. We nd that bull markets are longer and bear markets are shorter in the U.S. compared to Norway. We perform a structural break analysis and nd a major break in the growth rate in the U.S. and the Norwegian stock market. We see that the dominance of bull markets are almost identical for the U.S. and Norway post-structural break. Additionally, we test the return di erences between the rst (last) six months and the remaining months of bull and bear market states. These tests reveal evidence that returns are greater (smaller) in the rst (last) six months than the remaining for all bull and bear markets, except Norwegian bear markets. Finally, we test the investor overreaction hypothesis on the bull and bear market amplitude and nd that the dynamics of the U.S. stock market can partially be explained by investor overreaction.