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Professor Petko Kalev 

Position: Professor in Finance Professor Petko Kalev
Division/Portfolio: University of South Australia Business School
School/Unit: School of Commerce
Campus: City West Campus
Office: WL3-41
Telephone: +61 8 830 27122
Fax: +61 8 830 20992
Email: Petko_dot_Kalev_at_unisa_dot_edu_dot_au
URL for Business Card: http://people.unisa.edu.au/Petko.Kalev

Petko S. Kalev is a Professor in Finance and the Director of the Centre for Applied Financial Studies (CAFS) — School of Commerce, at the University of South Australia Business School. Professor Kalev holds a PhD in Financial Econometrics from Monash University, a Master of Science in Statistics from the University of Melbourne and, a Bachelor of Science Degree in Mathematics from the University of Plovdiv. Prior to joining the University of South Australia in February 2010, Professor Kalev worked at the Department of Accounting and Finance, Monash University (1999–2010). Professor Kalev has several research interests ranging from Asset Pricing, Capital Markets & Market Microstructure, Market Efficiency, Corporate Finance, Assets Management, Quantitative Finance and Behavioural Finance. Professor Kalev is most known and recognised for his empirical research contributions to the field of Market Microstructure: Asymmetric Information and Informed Trading, Market Quality, Price Discovery and Volatility Modelling.

Professor Petko Kalev is the founder and Director of CAFS, at the School of Commerce (October 2010). On his initiative, UniSA became the first participating member, located outside of New South Wales of the $100 million Capital Markets Cooperative Research Centre (CM CRC). Professor Kalev has strong links with the finance industry — he is a past Committee member of both Q-group Australia and Q-group Melbourne chapter. Currently he is a member of the SIRCA research committee. Professor Kalev is also the founder and executive chair of an annual research conference on Behavioral Finance and Capital Markets (2011 – present).

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 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.

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 40 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 Mannheim (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 (3 seminars), UWA (2 seminars), The University of Melbourne (2 seminars), The University of Sydney (3 seminars), University of Queensland (2 seminars), RMIT, UTS (3 seminars), Macquarie University, Monash University (7 seminars), and others; or to practitioners’ organisations (affiliations) such as CSIRO and the Q-Group of Australia (Goldman Sachs JBWere).

Teaching interests

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

I teach the following courses

BANK 5018Behavioural Finance

Professional associations

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


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

Research interests

  • Capital Markets/Market Microstructure
  • Corporate Finance and Corporate Governance
  • Market Efficiency, Investments/Funds Management and Behavioural Finance
  • Quantitative Finance
  • Special Topics in Time Series - Empirical Economics/Financial Econometrics

Research publications

Selected Refereed Journal Articles:

Tian, J., Do, B., Duong, H.N., and Kalev. P.S., (2014). Liquidity provision and informed trading by individual investors. Pacific-Basin Finance Journal , forthcoming. (ABDC A).

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., Duong, H.N., 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., and 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)

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)

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., (2010). Are price limits really bad for equity markets?, Journal of Banking and Finance 34, 2462–2471. (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)

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., 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)

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*)

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*)

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*)

Expertise for Media Contact

I am able to provide media comment in the following areas of expertise:


  • Capital Markets & Market Microstructure
  • Empirical Finance
  • Quantitative Finance
  • Behavioural Finance

Research Degree Supervisor

My current research interests for supervision of HDR (PhD) students include the following:
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); Algorithmic and High Frequency Trading; News Arrivals, Exchange Traded Funds (ETFs)
Corporate Finance and Corporate Governance: Initial Public Offerings (IPOs); Seasonal Public Offerings (SEOs); M&A; Asymetric Information; and Financial Tunnelling
Mathematical Finance: Option Pricing and Price Volatility
Market Efficiency, Investments/Funds Management and Behavioural 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

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