User profiles for Petko S. Kalev
Petko S. KalevProfessor of FInance, La Trobe University Verified email at latrobe.edu.au Cited by 1667 |
Public information arrival and volatility of intraday stock returns
This study employs firm-specific announcements as a proxy for information flows and investigates
the information–volatility relation using high-frequency data from the Australian Stock …
the information–volatility relation using high-frequency data from the Australian Stock …
Underpricing, stock allocation, ownership structure and post-listing liquidity of newly listed firms
This study investigates the relationship between underpricing, ownership structure and post-listing
liquidity of initial public offerings (IPOs). It is argued that higher underpricing induces …
liquidity of initial public offerings (IPOs). It is argued that higher underpricing induces …
Foreign versus local investors: Who knows more? Who makes more?
This paper examines the nature of information asymmetry between foreign and local investors
on the Helsinki stock exchange (HEX) for the period 1999–2004. We take into account the …
on the Helsinki stock exchange (HEX) for the period 1999–2004. We take into account the …
The Samuelson hypothesis in futures markets: An analysis using intraday data
This paper considers the Samuelson hypothesis, which argues that the futures price volatility
increases as the futures contract approaches its expiration. Utilizing intraday data from 20 …
increases as the futures contract approaches its expiration. Utilizing intraday data from 20 …
Are price limits really bad for equity markets?
Despite widely documented criticisms, price-limit rules are present in many equity markets
around the world. Using a game-theoretic model, we argue that, if the cost of monitoring a …
around the world. Using a game-theoretic model, we argue that, if the cost of monitoring a …
Order aggressiveness of institutional and individual investors
This paper investigates the determinants of the order aggressiveness of institutional and
individual investors on the Australian Stock Exchange. Utilizing a proprietary data set that …
individual investors on the Australian Stock Exchange. Utilizing a proprietary data set that …
A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence
Analyzing equity market co-movements is important for risk diversification of an international
portfolio. Copulas have several advantages compared to the linear correlation measure in …
portfolio. Copulas have several advantages compared to the linear correlation measure in …
Short-term contrarian investing—is it profitable?… Yes and No
In this paper we investigate short-term contrarian investment strategies in the Australian
stock market using weekly data of those stocks comprising the All Ordinaries Index during the …
stock market using weekly data of those stocks comprising the All Ordinaries Index during the …
Trading volume, realized volatility and jumps in the Australian stock market
We study the volume–volatility relation by splitting volume into the number of trades and the
average trade size at individual and institutional level, and realized volatility into its …
average trade size at individual and institutional level, and realized volatility into its …
The intraday price behaviour of Australian and New Zealand cross-listed stocks
E Lok, PS Kalev - International Review of Financial Analysis, 2006 - Elsevier
This paper considers the intraday price behaviour of Australian stocks listed on the Australian
Stock Exchange (ASX) and cross-listed on the New Zealand Stock Exchange (NZX), as …
Stock Exchange (ASX) and cross-listed on the New Zealand Stock Exchange (NZX), as …