Professor Petko Kalev 

Professor Petko S. Kalev joined the School of Commerce in February 2010. Previously he was a Senior Lecturer in Finance with the Accounting and Finance Department at Monash University, a position he held for eleven years. Prior to this Petko was with the Department of Econometrics & Business Statistics, Monash University for five years. His PhD is in Financial Econometrics from Monash University, his Master’s degree is in Statistics from the University of Melbourne and his Bachelor’s degree is in Mathematics, 4th year – Honours equivalent, from the University of Plovdiv.

Petko has an outstanding scholarship and professional leadership track record at the tertiary level for an Australian academic. More specifically, he has been playing an exceptional leadership role in teaching research subjects (units) with a research component at the tertiary level; in supervising and mentoring research students (Honours and PhD students); in performing research in interdisciplinary areas (eg Finance, Financial Economics and/or Financial Econometrics); in publishing in highly ranked and reputable international A* journals and in creating partnerships between the academia the finance industry.

Petko’s research interests are in Capital Markets/Market Microstructure, Corporate Finance and Corporate Governance, Market Efficiency, Investments/Funds Management and Behaviour Finance, and Special Topics in Time Series - Empirical Economics/Financial Econometrics. Petko’s research interests are in Capital Markets/Market Microstructure, Corporate Finance and Corporate Governance, Market Efficiency, Investments/Funds Management and Behaviour Finance, and Special Topics in Time Series - Empirical Economics/Financial Econometrics.

Over the last ten years Petko has been playing an instrumental role in promoting research, mentoring HDR and Honours students and staff members, and organizing research workshops and seminars. For example, he founded and organized the Empirical Workshop in Finance (2000-2007) for staff members and graduate students (Acc. and Finance, Monash). Petko was the initiator and the organizer of the Q-Group Australia Honours Students Research Competition (2000-2006). On his initiative and with his organisational leadership, the Q-Group Melbourne held a One-Day Conference in Melbourne (2005-2009). This event is known as the Annual Q-Group Melbourne, Monash University - Colloquium on Empirical & Quantitative Finance and has become an annual event, which is well attended by both practitioners and academics. More recently, in 2008, Petko was the initiator and organizer (2009) of the Finance Brown Bag Workshop Series in the Department of Acc. and Finance, Monash University.

Petko is joint winner with Sugato Chakravarty and Linh Pham of the Barclays Global Investors Research Award of for the best paper on Capital Markets/Funds Management with a focus on the Australasian markets (Australasian Finance and Banking Conference - Sydney, December 2004). He also holds the best paper award at the FMA European meeting in Turin 2009 – a joined paper with his ex-PhD student Huu N. Duong. He was also shortlisted for the Vice-Chancellor 2009 Award for Excellence in Honour’s Students Supervision and a Runner-Up in the Dean’s Award for Excellence in Research by an Early Career Researcher – Faculty of Business and Economics – Monash University, December 2005.

Petko disseminates knowledge and research in the discipline of Finance by presenting invited lectures, workshops, seminars and research papers at leading national and international institutions, and networking with leading Departments and scholars, thus enhancing the reputation of the University I represent. Over the last four years, Petko has presented more than 30 seminars and other research papers at leading institutions, such as the Board of Governors of the Federal Reserve System - Division of International Finance, Washington DC, Cambridge University (Judge Business School), Erasmus University, University of Bonn (3 seminars), University of Calgary (Haskayne School of Business), Georgetown University (McDonough School of Business), University of Hawaii, (Shidler College of Business), Massey University, Bond University, New Bulgarian University, University of Sinos (Sao Leopoldo), Federal University (Porto Alegre), UNWE (Sofia), Catholic University of Mons, ANU, UNSW (2 seminars), UWA, The University of Melbourne, The University of Sydney (2 seminars), University of Queensland, RMIT, UTS (2 seminars), Macquarie University, Monash University (many presentations), and others; or to practitioners’ organisations (affiliations) such as CSIRO and the Q-Group of Australia (Goldman Sachs JBWere).

• Advance Topics in Finance
• Applied Research in Finance
• Behaviour Finance
• Capital markets and Market Microstructure
• Corporate Financial Theory
• Funds Management
• Issues in Corporate Finance
• Quantitative Methods
• Research Methods

AFA, FMA, FINSIA (Senior), FIRN, Qgroup Australia

BSc (Mathematics), MSc (Statistics), PhD (Fin. Econometrics) FINSIA (Senior)

• Capital Markets/Market Microstructure: Market Price Formation, Informed Trading; Liquidity; Volume and Volatility Relation(s); Price Limits; Information Arrivals; and Mixture of Distribution Hypothesis (MDH)
• Corporate Finance and Corporate Governance: Initial Public Offerings (IPOs); Seasonal Public Offerings (SEOs); M&A; Asymetric Information; and Financial Tunneling
• Market Efficiency, Investments/Funds Management and Behaviour Finance: Market Anomalies & Behavioural Issues, Performance & Evaluation; Fees Structure; and Capacity Constraints
• Special Topics in Time Series - Empirical Economics/Financial Econometrics: Price discovery; Trade Durations; Volatility Modelling and Forecasting; Non-Linealities, Non-stationarotoes and Structural Breaks Detection; and Estimating, Interpreting and Forecasting the Yield Curve.

Scholarly book chapters:

Kalev, P. S., Duong, H. N., (2010). “Firm Specific News Arrival and the Volatility of Intraday Stock Index and Futures Returns”, in New Analytics Handbook, edited by Mitra, G. and Mitra, L., John Wiley & Sons, forthcoming

Refereed Journal Articles:

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 (ERA rank A*)

Nguyen, A. H., Duong, H. N., Kalev, P. S., Oh, N., (2010). Implicit Trading Costs, Divergence of Opinion and Short-Selling Constraints in the Limit Order Book Market. The Journal of Trading, forthcoming. (ERA N/A, ABDC rank C)

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. (ERA rank B)

Kalev, P. S., and Pham, L. T. (2009). Intraweek and intraday trade patterns and dynamics. Pacific Basin Finance Journal, 17(5), 547-564. (ERA rank B)

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. (ERA rank B)

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. (ERA rank 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. (ERA rank 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. (ERA rank A)

Sujoto, C., Kalev, P., and Faff, R. (2008). Systematic liquidity in the long run. Applied Financial Economics Letters, 4(3), 187-191. (ERA N/A, ABDC rank 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. (ERA rank 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. (ERA rank 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. (ERA rank B)

Kalev, P. S., and Inder, B. A. (2006). The information content of the term structure of interest rates. Applied Economics, 38(1), 33-45. (ERA rank A)

Zolotoy, L., Ben-Zion, U., and Kalev, P.S. (2005). Foreign exchange and stock market integration before and after the euro: Evidence from Australia and New Zealand, Eurasian Review of Economics and Finance, 1(3), 1-8. (ERA N/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. (ERA rank A*)

Kalev, P.S., and Kapoor, V. (2004). Floor versus screen trading: An empirical analysis of the Sydney Futures SPI contract, Finance Letters, 2(2), 1-5. (ERA N/A, ABDC rank C)

Chan, H., Faff, R., Kalev, P.S., and Lee, D. (2003). Further evidence on the short-term contrarian investment strategy, Finance Letters, 1(2), 1-5. (ERA N/A, ABDC rank C)

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. (ERA rank 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. (ERA rank A*)

Steen, A.B., Kalev, P.S., and Turpie, K. (2001).The short-run performance of IPOs of privately owned and publicly owned firms: A note from Australia, Multinational Journal of Finance, 5(2), 149-154. (ERA rank A)