Economic Policy Uncertainty and Stock Liquidity: Evidence from China

This is the original data of our research about economic policy uncertainty and stock liquidity from China. Our data come from two main sources, that is CSMAR and Wind database. The sample consists of the A-share listed companies from 2004 to 2017 in both Shanghai and Shenzhen Stock Exchange. We then filter the sample by: (1) delete the sample of financial and insurance industry; (2) remove the sample of abnormal companies such as special treated firms and particular transfer firms; (3) delete samples with asset-liability ratio greater than 1 and other variables with missing values; (4) winsorise the continuous variables at the 1st and 99th percentiles in order to eliminate potential outlier effects. The final sample consists of 97,729 firms.