Personal Data Protection System and Capital Market Pricing Efficiency

Our analysis draws upon data from A-share listed companies on the Shanghai and Shenzhen Stock Exchanges between 2016 and 2023—a period that coincides with China’s progressive data governance reforms, triggered by the enactment of the Cybersecurity Law in 2016. Firm-level data is obtained from the China Stock Market and Accounting Research (CSMAR) database. To ensure sample quality, financial sector entities are excluded due to their distinct regulatory environment, followed by the removal of firms with special treatment (ST) or particular transfer (PT) status, which signal abnormal financial conditions. Observations with incomplete variable coverage are also excluded. Continuous variables are winsorized at the 1st and 99th percentiles to mitigate the influence of outliers, yielding a final sample of 27,449 firm-year observations.

本研究的分析样本取自2016至2023年上海、深圳证券交易所的A股上市公司，该时段与中国由2016年《网络安全法》颁布所启动的渐进式数据治理改革周期相契合。公司层面微观数据来源于中国股票市场与会计研究（China Stock Market and Accounting Research, CSMAR）数据库。为确保样本质量，首先剔除监管环境迥异的金融类上市公司，随后剔除被实施特别处理（Special Treatment, ST）或特别转让（Particular Transfer, PT）的财务状况异常公司，同时剔除变量覆盖不全的观测样本。最后对连续变量在1%与99%分位处进行缩尾处理以缓解异常值干扰，最终得到27449个公司-年度观测样本。