Sermin Gungor

Sermin Gungor

Principal Researcher

Sermin Gungor is a Principal Researcher at the Market Risks and Vulnerabilities division of the Financial Markets Department. Her research spans a diverse area of financial economics and econometrics, with a focus on asset pricing. Sermin holds a Ph.D. in Economics from Emory University and a MSc in Financial Economics and Econometrics from the University of Essex. She also received a bachelor’s degree in Economics from Marmara University. Her prior work experience includes a lecturer position in Istanbul Commerce University.

Contact

Sermin Gungor

Principal Researcher
Financial Markets
Market Risks and Vulnerabilities

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

Curriculum vitae

Latest

Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects

Staff Working Paper 2017-10 Sermin Gungor, Richard Luger
We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C3, C32, G, G1, G14

Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns

Staff Working Paper 2015-12 Jean-Sébastien Fontaine, René Garcia, Sermin Gungor
Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Financial markets JEL Code(s): E, E4, E43, H, H1, H12

Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings

Staff Working Paper 2014-51 Sermin Gungor, Richard Luger
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C15, G, G1, G12

Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy

Staff Working Paper 2014-3 Sermin Gungor, Jesus Sierra
This paper investigates the effects of monetary policy on the risk-taking behavior of fixed-income mutual funds in Canada. We consider different measures of the stance of monetary policy and investigate active variation in mutual funds’ risk exposure in response to monetary policy.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial Institutions, Transmission of monetary policy JEL Code(s): E, E5, E52, G, G2, G23

Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances

Staff Working Paper 2013-16 Sermin Gungor, Richard Luger
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C15, C3, C33, G, G1, G11, G12

See More

Other

Other publications

  • "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances"
    (with R. Luger), Journal of Business & Economic Statistics, April 2015, Volume 34 (2), Pages 161-175.
  • “Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings”
    (with R. Luger), L'Actualité économique, 2015, forthcoming.
  • "Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach"
    (with R. Luger), Journal of Business & Economic Statistics, 31:1, 66-77, 2013.
  • "Exact Distribution-Free Tests of Mean-Variance Efficiency"
    (with R. Luger), Journal of Empirical Finance, 16, 816-829, 2009.

Archives

Bank Publications

Education

  • Ph. D. in Economics, Emory University, Atlanta, 2010
  • M.Sc. in Financial Economics and Econometrics, University of Essex, Essex, U.K., 2001
  • B.A. in Economics, Marmara University, Istanbul, Turkey, 2000

Research Interests

  • Financial economics
  • Asset pricing
  • Econometrics

RePEc

Sermin Gungor

About

Affiliate Sites

Legal

Follow the Bank