This paper has introduced some theories and modeling methods in survival analysis and has applied the Cox Proportional Hazards Model to analyze stock survival times. The Tehran Stock Exchange fell in recession in December 2013, as it roughly persisted until the end of 2015. However, there are significant differences in the various industries in terms of the beginning and the end of recession. By the evaluation of the Bulls and Bears markets in the major industries in the Tehran Stock Exchange, the recession contexts can be identified and indicated. In the present study, the Lunde and Timmermann (2004) approach is applied to identify the situation of the different industries during the period of November 2008 to February 2016 and Cox regression is used to examine the impact of the industry type and the main macroeconomic variables affecting the Bears Market. The results indicated that since the beginning towards the end of the recession between the under-study industries, there were many differences which can be used as criteria to identify the key industries in the recession of the capital market. In addition, the results of Cox regression indicated that the type of industry and the inflation rate had a significant effect on the continuation of the Bears Market.