Bull, bear or any other states in US stock market?

A stock market is traditionally considered to shift between bull and bear markets, reflecting the states of high mean and low mean in stock returns, respectively. In this paper, we attempt to detect more different states in a stock market by applying a Bayesian Markov switching model, where the optimal number of states is determined according to the marginal likelihoods. An application to US stock market indicates that there exist four distinguishable states and each state represents different characteristics of US stock market.