Petko S. Kalev

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Robert FaffProfessor of Finance, The University of QueenslandVerified email at business.uq.edu.au
Svetlozar RachevProfessor of Applied MathematicsVerified email at ttu.edu
Dr. Dr. Edward W. SunSenior Professor of Data Science & FinTech; KEDGE Business School FranceVerified email at kedgebs.com
Saikat Sovan DebDeakin UniversityVerified email at deakin.edu.au
Wai-Man LiuAssociate Professor, Australian National UniversityVerified email at anu.edu.au
Elvis JarnecicSenior Lecturer of Finance, University of SydneyVerified email at sydney.edu.au
Guanghua LianVerified email at berkeley.edu
Chandrasekhar KrishnamurtiProfessor of Finance, University of South AustraliaVerified email at unisa.edu.au
Sugato ChakravartyStrategic Management Area/ Krannert School of Management/Purdue UniversityVerified email at purdue.edu
Harminder SinghDeakin University, AustraliaVerified email at deakin.edu.au
Michael DempseyTon Duc Thang UniversityVerified email at tdtu.edu.vn
Associate Professor Kartick GuptaUniversity of South AustraliaVerified email at unisa.edu.au
Binh DoMonash UniversityVerified email at monash.edu
P. Joakim WesterholmAcademic University of Sydney Business SchoolVerified email at sydney.edu.au
Carl ChiarellaProfessor of Quantitative FinanceVerified email at uts.edu.au
Ariful HoqueSenior Lecturer, Murdoch UniversityVerified email at murdoch.edu.au
Avanidhar SubrahmanyamGoldyne and Irwin Hearsh Distinguished Professor, UCLAVerified email at anderson.ucla.edu
Harrison ZhouProfessor of Statistics, Yale UniversityVerified email at yale.edu

Petko S. Kalev

Professor of FInance, La Trobe University

Verified email at latrobe.edu.au - Homepage

Market Microstructure Market Efficiency and Investors Behaviour Investments


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Public information arrival and volatility of intraday stock returns PS Kalev, WM Liu, PK Pham, E Jarnecic Journal of Banking & Finance 28 (6), 1441-1467, 2004	278	2004
Underpricing, stock allocation, ownership structure and post-listing liquidity of newly listed firms PK Pham, PS Kalev, AB Steen Journal of Banking & Finance 27 (5), 919-947, 2003	174	2003
Foreign versus local investors: Who knows more? Who makes more? PS Kalev, AH Nguyen, NY Oh Journal of Banking & Finance 32 (11), 2376-2389, 2008	121	2008
The Samuelson hypothesis in futures markets: An analysis using intraday data HN Duong, PS Kalev Journal of Banking & Finance 32 (4), 489-500, 2008	90	2008
Order aggressiveness of institutional and individual investors HN Duong, PS Kalev, C Krishnamurti Pacific-Basin Finance Journal 17 (5), 533-546, 2009	76	2009
Short-term contrarian investing—is it profitable?… Yes and No DD Lee, H Chan, RW Faff, PS Kalev Journal of Multinational Financial Management 13 (4-5), 385-404, 2003	66	2003
A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence W Sun, S Rachev, FJ Fabozzi, PS Kalev Empirical economics 36 (1), 201-229, 2009	62	2009
Are price limits really bad for equity markets? SS Deb, PS Kalev, VB Marisetty Journal of Banking & Finance 34 (10), 2462-2471, 2010	53	2010
A test of the Samuelson hypothesis using realized range PS Kalev, HN Duong Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2008	46	2008
Trading volume, realized volatility and jumps in the Australian stock market H Shahzad, HN Duong, PS Kalev, H Singh Journal of International Financial Markets, Institutions and Money 31, 414-430, 2014	41	2014
The intraday price behaviour of Australian and New Zealand cross-listed stocks E Lok, PS Kalev International Review of Financial Analysis 15 (4-5), 377-397, 2006	41	2006
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration W Sun, S Rachev, FJ Fabozzi, PS Kalev Annals of Finance 4 (2), 217-241, 2008	32	2008
Order book slope and price volatility HN Duong, PS Kalev Manuscript, Department of Accounting and Finance, Monash University, 2008	27	2008
Liquidity provision and informed trading by individual investors X Tian, B Do, HN Duong, PS Kalev Pacific-Basin Finance Journal 35, 143-162, 2015	18	2015
Stealth trading in volatile markets S Chakravarty, P Kalev, LT Pham forthcoming, http://www. bond. edu. au/bus/research/Stealth% 20Trading …, 2005	18	2005
Algorithmic and high frequency trading in Asia-Pacific, now and the future H Zhou, PS Kalev Pacific-Basin Finance Journal 53, 186-207, 2019	17	2019
Intraweek and intraday trade patterns and dynamics PS Kalev, LT Pham Pacific-Basin Finance Journal 17 (5), 547-564, 2009	17	2009
Price limits and volatility SS Deb, PS Kalev, VB Marisetty Pacific-Basin Finance Journal 45, 142-156, 2017	15	2017
Volatility swaps and volatility options on discretely sampled realized variance G Lian, C Chiarella, PS Kalev Journal of Economic Dynamics and Control 47, 239-262, 2014	15	2014
The information content of the term structure of interest rates PS Kalev, BA Inder Applied Economics 38 (1), 33-45, 2006	14	2006

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