Personal Data Protection System and Capital Market Pricing Efficiency

Our analysis is based on A-share listed firms on the Shanghai and Shenzhen Stock Exchanges over the period 2016-2023, which coincides with the gradual development of China’s data governance framework following the enactment of the Cybersecurity Law in 2016. Firm-level financial and market data are obtained from the China Stock Market and Accounting Research (CSMAR) database. To ensure sample comparability and data quality, we exclude financial firms because they operate under a distinct regulatory regime. We further remove firms with Special Treatment or Particular Transfer status, as these designations indicate abnormal financial conditions. Observations with missing values for the variables used in the analysis are also excluded. To mitigate the influence of outliers, all continuous variables are winsorized at the 1st and 99th percentiles. The final sample consists of 27,022 firm-year observations.