Professor Petko Kalev
College of Arts, Social Sciences and Commerce
La Trobe Business School
Department of Economics and Finance
DW3.13, Melbourne (Bundoora)
PhD (Financial Econometrics), Department of Econometrics and Business Statistics, Faculty of Business and Economics, Monash University Masters of Science (Statistics), Department of Statistics, The University of Melbourne B. Sc. (4th year – Honours equivalent) Degree equivalent in Mathematics, The University of Plovdiv
Area of study
Professor Kalev is a prolific researcher with many publications in top international Finance journals. He has strong links with industry, notably as a member of the Capital Markets Cooperative Research Centre (CMCRC), Q-group Australia and as a member of the SIRCA Research Committee. Professor Kalev facilitated a strategic partnership with CMCRC which has so far generated in access of $1.7 million of research funding for industry-related research (CAT4). Over the duration of his scholarly appointments, starting with Monash University, UniSA and more recently in La Trobe University, Professor Kalev research activities is closely focused on merging financial theory and practice, bringing together Finance scholars and industry experts and facilitating international research collaborations. For example, since 2011, Petko is organising and chairing the Behavioural Finance and Capital Markets conference in Adelaide (2011-2016) and Melbourne (2017-), which research event is showcasing state-of-the-art research, theoretical, empirical and experimental papers by distinguished scholars and industry practitioners.
Dr Kalev disseminates knowledge and research in the discipline of Finance by presenting invited talks at leading national and international institutions, and networking with leading Departments and scholars, thus enhancing the reputation of the University. Over the last ten years, Professor Kalev has presented more than 60 research papers at leading institutions, such as the G8 Australian Universities, the Board of Governors of the Federal Reserve System - Division of International Finance, Washington DC, Cambridge University, Erasmus University, University of Bonn, University of Mannheim, University of Geneva, University of Lion, University of Calgary, Georgetown University, University of Hawaii, Massey University, University of Sinos, Federal University, Catholic University of Mons, The University of Auckland and AUT among others. Among others, Petko is a winner of the 2004 $10,000 Barclays Global Investors Research Award at the AFBC in Sydney. Dr Kalev has acted as a consultant and expert witness in a number of matters.
Financial markets microstructure and information- Please contact me to discuss a topic.
· BUS5QDA ‘Quantitative Data Analysis’ LBS (Honours and HDR year class), Semester 1, 2018
· FIN5EME ‘Econometric Methods’ LBS (Postgraduate class), Semester 1, 2018 and Semester 2, 2017.
· BUS5ADF ‘Advance Finance’ (HDR year class), Semester 1, 2017.
Kalev, P.S., Saxena, K., Zolotoy, L., 2017. Coskewness risk decomposition, covariation Risk, and intertemporal asset pricing. Journal of Financial and Quantitative Analysis, (forthcoming). Date accepted 7 September 2017. (ABDC A).
Deb, S., Kalev, P.S. and Marisetty, V.B., 2017 Price limits and volatility. Pacific-Basin Finance Journal, 45, 142-156. (ABDC A).
Mudalige, P., Kalev, P.S., and Duong, H.N., 2016. Individual and institutional trading volume around firm-specific announcements. International Journal of Managerial Finance 12 (4), 422-444. (ABDC B)
Tian, J., Do, B., Duong, H.N. and Kalev. P.S., 2015. Liquidity provision and informed trading by individual investors. Pacific-Basin Finance Journal 9, 43-56. (ABDC A).
Hoque, A., and Kalev, P.S., 2015. Pricing currency options with intra-daily implied volatility, Australasian Accounting Business and Finance Journal 9, 43-56. (ABDC C)
Shi, X., Dempsey, M., Duong, H.N., Kalev, P.S., 2015. Investor protection and market liquidity revisited, Corporate Governance: The International Journal of Business in Society 15, 517-529. (ABDC C)
Lian, G, Chiarella, C and Kalev, P.S., 2014. Volatility swaps and volatility options on discretely sampled realized variance. Journal of Economic Dynamics and Control 47, 239 ̶ 262. (ABDC A).
Shahzad, H., Huu Nhan Duong, H.N., Petko S. Kalev, P.S. and Singh, H., 2014. Trading volume, realized volatility and jumps in the Australian stock market, Journal of International Financial Markets, Institutions and Money 31, 414 ̶ 430. (ABDC A).
Duong, H.N., Kalev, P.S., 2014. Anonymity and the information content of the limit order book. Journal of International Financial Markets, Institutions, and Money 30, 205 ̶ 219. (ABDC A).
Duong, H. N., and Kalev, P.S., (2013). Anonymity and order submissions, Pacific-Basin Finance Journal 25, 101-118. (ABDC A)
Deb, S.S, Kalev P.S, and Marisetty, V.B. (2013). Flexible price limits: The case of Tokyo Stock Exchange, Journal of International Finance Markets, Institutions and Money 24, 66-84. (ABDC A)
Bogomolov, T., Liu, L., and Kalev, P.S., 2013. Can time difference deter arbitrage opportunities? Journal of Asset Management 14(2), 79–94.
Deb, S.S., Kalev, P. S., and Marisetty, V., B., (2010). Are price limits really bad for equity markets?, Journal of Banking and Finance 34, 2462–2471. (ABDC A)
Duong, H. N., Kalev, P. S., and Krishnamurti, C. (2009). Order aggressiveness of institutional and individual investors. Pacific-Basin Finance Journal, 17(5), 533–546. (ABDC A)
Kalev, P. S., and Pham, L. T. (2009). Intraweek and intraday trade patterns and dynamics. Pacific-Basin Finance Journal, 17(5), 547–564. (ABDC A)
Sun, W., Rachev, S., Fabozzi, F.J., and Kalev, P.S. (2009). A new approach to modeling co-movement of international equity markets: Evidence of unconditional copula-based simulation of tail dependence, Empirical Economics 36(1), 201–229. (ABDC A)
Sujoto, C., Kalev, P. S., and Faff, R. W. (2008). An examination of commonality in liquidity: New evidence from the Australian stock exchange. Journal for Studies in Economics and Econometrics, 32(3), 55–79. (ABDC B)
Kalev, P. S., Nguyen, A. H., and Oh, N. Y. (2008). Foreign versus local investors: Who knows more? Who makes more? Journal of Banking and Finance, 32(11), 2376–2389. (ABDC A)
Kalev, P. S., and Duong, H. N. (2008). A test of the Samuelson hypothesis using realized range. Journal of Futures Markets, 28(7), 680–696. (ABDC A)
Sujoto, C., Kalev, P., and Faff, R. (2008). Systematic liquidity in the long run. Applied Financial Economics Letters, 4(3), 187–191. (ABDC C)
Duong, H. N., and Kalev, P. S. (2008). The Samuelson hypothesis in futures markets: An analysis using intraday data. Journal of Banking and Finance, 32(4), 489–500. (ABDC A)
Sun, W., Rachev, S., Fabozzi, F. J., and Kalev, P. S. (2008). Fractals in trade duration: Capturing long-range dependence and heavy tailedness in modeling trade duration. Annals of Finance, 4(2), 217–241. (ABDC B)
Lok, E., and Kalev, P. S. (2006). The intraday price behaviour of Australian and New Zealand cross-listed stocks. International Review of Financial Analysis, 15(4-5), 377–397. (ABDC A)
Kalev, P. S., and Inder, B. A. (2006). The information content of the term structure of interest rates. Applied Economics, 38(1), 33–45. (ABDC A)
Kalev, P. S., Liu, W.-M., Pham, P. K., and Jarnecic, E. (2004). Public information arrival and volatility of intraday stock returns. Journal of Banking and Finance, 28(6), 1441–1467. (ABDC A)
Lee, D. D., Chan, H., Faff, R. W., and Kalev, P. S. (2003). Short-term contrarian investing - is it profitable?... yes and no. Journal of Multinational Financial Management, 13(4-5), 385–404. (ABDC B)
Pham, P. K., Kalev, P. S., and Steen, A. B. (2003). Underpricing, stock allocation, ownership structure and post-listing liquidity of newly listed firms. Journal of Banking and Finance, 27(5), 919–947. (ABDC A)