TY - THES ID - 135756730 TI - The option value of the limit order book: an empirical study AU - Janssens, Ine AU - Wuyts, Gunther AU - KU Leuven. Faculteit Economie en Bedrijfswetenschappen. Opleiding Master of Science in Financial Economics PY - PB - Leuven : K.U. Leuven. Faculteit Economie en Bedrijfswetenschappen DB - UniCat UR - https://www.unicat.be/uniCat?func=search&query=sysid:135756730 AB - This paper investigates the option value - calculated by means of the Black-Scholes model - of ten stocks listed on the Spanish stock market. Applying an innovative approach of Copeland and Galai (1983) allows considering different liquidity measures simultaneously. Part of our research consists of replicating a study of Frino, Jarnecic, and McInish (2006), who have estimated the option value of the Australian limit order book. On average, the option value of a single limit order is EUR 0,0218 for best ask and EUR 0,0170 for best bid, which is slightly less than the results of Frino et al (2006). In contrast, due to a higher depth, the limit order book value is higher for the Spanish limit order book. Although the best bid provides more liquidity than the best ask, the five best ask quotes combined have a larger option value than the five best bid quotes. At the beginning of the trading day, the limit order book value is the lowest because of a relatively low depth. The option value of the LOB peaks at the end of the trading day. Finally, we find that the option value is negatively related to the bid-ask spread. ER -