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.


Sermin Gungor

Principal Researcher
Financial Markets
Market Risks and Vulnerabilities

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

Curriculum vitae


Has Liquidity in Canadian Government Bond Markets Deteriorated?

Staff Analytical Note 2017-10 Sermin Gungor, Jun Yang
This note presents measures of liquidity used by the Bank of Canada to monitor market conditions and discusses recent trends in Government of Canada (GoC) fixed-income market liquidity. Our results indicate that the Bank’s measures have improved since the financial crisis.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets JEL Code(s): G, G1, G12, G14

May 11, 2017 The Life Cycle of Government of Canada Bonds in Core Funding Markets

Data on the use of government securities in the repo, securities lending and cash markets suggest there are bond market clienteles in Canada. Shorter-term bonds are more prevalent in the repo market, while longer-maturity securities are more active in the securities lending market—consistent with the preferred habitat hypothesis. These results could help design better debt-management strategies and more-effective policies to maintain well-functioning financial markets.
Content Type(s): Publications, Bank of Canada Review Article Topic(s): Debt Management, Financial markets JEL Code(s): G, G1, G12, G2, G23

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.

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.

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Other publications

  • "Multivariate Tests of Mean-Variance Efficiency and Spanning with Large Number of Assets and Time-Varying Covariances"
    (with R. Luger), Journal of Business & Economic Statistics, 34:2, 161-175, 2016.
  • “Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings”
    (with R. Luger), L'Actualité économique, 91, 35-65, 2015.
  • "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.


  • 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


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