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.