Many studies are conducted in the finance literature to examine whether the beta responds differently to good and bad news. This study examined the fluctuations occur in systematic risk in bull and bear periods using the most recent data from the Pakistan Stock Exchange. The period of the study is 6 years from 2011 to 2016. Panel data methodology used to examine the market reaction on systematic risk for a sample of 410 listed firms listed on Pakistan Stock Exchange. The beta is estimated by using linear market model as a proxy. The results indicated that the returns of market in bull periods are greater than returns in bear periods and the systematic risk of firms in bull period is less than the systematic risk in bear period. Further, the results of one sample t test showed that the mean of the beta calculated for full sample is different from zero. The findings showed that the systematic risk is significantly different in bull and bear periods by applying paired t test. The results indicated that the systematic risk has increased and decreased in bear and bull periods respectively Supervisor:- Dr. Abdul Rashid