This study examines the asymmetric effects of monetary policy on stock market volatility in Pakistan over bull and bear market period. In this study monthly data is used over the period 1992:m1 to 2015:m12. The primary objective of this study is to measure the stock market volatility along with identification of bull and bear market. The asymmetric impact of monetary policy is also investigated over bull and bear market period in Pakistan. Stock market volatility is measured through GARCH (1,1), the findings showed that volatility is quite persistent in case of KSE-return series. The study further employed Markov regime switching model to identify the bull and bear market period and found that both bull and bear market showed the high persistence. It is also found that bear market period is continued for shorter period than bull market period, while the relationship between monetary policy and stock market volatility is estimated through ARDL. The study confirms the existence of asymmetric effect of monetary policy on stock market volatility over bull and bear market period. Furthermore, it is also examined that the monetary policy has greater effects in bear market period than bull market. So before formulation of the policies the policy makers should be careful when implementing a tight monetary policy to cool down the economy during booming period because this action may have bad effects on stock market and financial market. Supervisor:- Dr. Ahsan ul Haq Satti