China Index: Shanghai Stock Exchange: New Composite data was reported at 2,876.620 30Dec2005=1000 in 14 May 2025. This records an increase from the previous number of 2,852.030 30Dec2005=1000 for 13 May 2025. China Index: Shanghai Stock Exchange: New Composite data is updated daily, averaging 2,551.580 30Dec2005=1000 from Jan 2006 (Median) to 14 May 2025, with 4701 observations. The data reached an all-time high of 4,363.070 30Dec2005=1000 in 12 Jun 2015 and a record low of 1,645.310 30Dec2005=1000 in 27 Jun 2013. China Index: Shanghai Stock Exchange: New Composite data remains active status in CEIC and is reported by Shanghai Stock Exchange. The data is categorized under High Frequency Database’s Financial and Futures Market – Table CN.ZA: Shanghai Stock Exchange: Indices: Daily.

China Turnover: Value: Shanghai Stock Exchange: SSE Composite Total Return Index data was reported at 534,872.945 RMB mn in 14 May 2025. This records an increase from the previous number of 506,608.944 RMB mn for 13 May 2025. China Turnover: Value: Shanghai Stock Exchange: SSE Composite Total Return Index data is updated daily, averaging 401,324.500 RMB mn from Jul 2020 (Median) to 14 May 2025, with 1166 observations. The data reached an all-time high of 1,510,513.251 RMB mn in 08 Oct 2024 and a record low of 205,763.000 RMB mn in 30 Sep 2020. China Turnover: Value: Shanghai Stock Exchange: SSE Composite Total Return Index data remains active status in CEIC and is reported by Shanghai Stock Exchange. The data is categorized under China Premium Database’s Financial Market – Table CN.ZA: Shanghai Stock Exchange: Turnover: Value: Daily.

China Index: Shanghai Stock Exchange: Dividend data was reported at 3,113.740 31Dec2004=1000 in 14 May 2025. This records an increase from the previous number of 3,087.080 31Dec2004=1000 for 13 May 2025. China Index: Shanghai Stock Exchange: Dividend data is updated daily, averaging 2,635.300 31Dec2004=1000 from Apr 2005 (Median) to 14 May 2025, with 4882 observations. The data reached an all-time high of 4,144.660 31Dec2004=1000 in 12 Jun 2015 and a record low of 1,574.930 31Dec2004=1000 in 10 Mar 2014. China Index: Shanghai Stock Exchange: Dividend data remains active status in CEIC and is reported by Shanghai Stock Exchange. The data is categorized under High Frequency Database’s Financial and Futures Market – Table CN.ZA: Shanghai Stock Exchange: Indices: Daily.

China Index: Shanghai Stock Exchange: SSE Composite Total Return Index data was reported at 3,810.070 21Jul2020=3320.89 in 14 May 2025. This records an increase from the previous number of 3,777.330 21Jul2020=3320.89 for 13 May 2025. China Index: Shanghai Stock Exchange: SSE Composite Total Return Index data is updated daily, averaging 3,414.755 21Jul2020=3320.89 from Jul 2020 (Median) to 14 May 2025, with 1166 observations. The data reached an all-time high of 3,878.060 21Jul2020=3320.89 in 08 Oct 2024 and a record low of 2,921.000 21Jul2020=3320.89 in 05 Feb 2024. China Index: Shanghai Stock Exchange: SSE Composite Total Return Index data remains active status in CEIC and is reported by Shanghai Stock Exchange. The data is categorized under China Premium Database’s Financial Market – Table CN.ZA: Shanghai Stock Exchange: Indices: Daily.

The Shanghai Composite Index (SSE), as a representative composite index of listed companies on the Shanghai Stock Exchange, is a core observation indicator of the systematic risk and price discovery mechanism in China's capital market. It includes various industries such as finance, energy, and industry, and can effectively depict the overall dynamic changes of the market This study selected intraday high-frequency data from January 2, 2024 to December 31, 2024. In order to accurately capture tail extreme events (such as liquidity shocks or policy driven jump risks) and overcome the discontinuity problem caused by low-frequency sampling, a balanced data frequency with 5-minute intervals was adopted The final dataset covers 48 observation points for each trading day, obtaining a total of 11656 observations of index returns within effective days Meanwhile, Monetary policy and real estate policy are the core tools of macroeconomic regulation. The former directly affects market liquidity, interest rates, and financing costs, while the latter, as a pillar industry of China's economy, directly affects market stability. Therefore, this article takes the release of information on monetary policy and real estate policy as representative events of macroeconomic policy, and adopts the event study method (Sorescu et al. (2017)) to ultimately determine 25 positive policies and 16 negative policies The price data of the Shanghai Composite Index was purchased from the financial data service of Jinshu Source（ http://www.jinshuyuan.net/pdt/196 ）, the monetary policy announcement was collected from the official website of the People's Bank of China（ http://www.pbc.gov.cn/zhengcehuobisi ）The real estate regulation policy documents are integrated from China Real Estate Network（ http://m.fangchan.com/data ).

China Turnover: Volume: Shanghai Stock Exchange: SSE Composite Total Return Index data was reported at 46,493.444 Share mn in 14 May 2025. This records an increase from the previous number of 42,624.070 Share mn for 13 May 2025. China Turnover: Volume: Shanghai Stock Exchange: SSE Composite Total Return Index data is updated daily, averaging 32,698.620 Share mn from Jul 2020 (Median) to 14 May 2025, with 1166 observations. The data reached an all-time high of 131,346.019 Share mn in 08 Oct 2024 and a record low of 14,911.560 Share mn in 27 Oct 2020. China Turnover: Volume: Shanghai Stock Exchange: SSE Composite Total Return Index data remains active status in CEIC and is reported by Shanghai Stock Exchange. The data is categorized under China Premium Database’s Financial Market – Table CN.ZA: Shanghai Stock Exchange: Turnover: Volume: Daily.

China Index: Shanghai Stock Exchange: Composite data was reported at 3,403.950 19Dec1990=100 in 14 May 2025. This records an increase from the previous number of 3,374.870 19Dec1990=100 for 13 May 2025. China Index: Shanghai Stock Exchange: Composite data is updated daily, averaging 3,021.285 19Dec1990=100 from Jan 1994 (Median) to 14 May 2025, with 7610 observations. The data reached an all-time high of 5,166.350 19Dec1990=100 in 12 Jun 2015 and a record low of 1,950.010 19Dec1990=100 in 27 Jun 2013. China Index: Shanghai Stock Exchange: Composite data remains active status in CEIC and is reported by Shanghai Stock Exchange. The data is categorized under High Frequency Database’s Financial and Futures Market – Table CN.ZA: Shanghai Stock Exchange: Indices: Daily.

China PB Ratio: Shanghai SE: 180 Index data was reported at 1.090 NA in 14 May 2025. This records an increase from the previous number of 1.080 NA for 13 May 2025. China PB Ratio: Shanghai SE: 180 Index data is updated daily, averaging 1.330 NA from Oct 2008 (Median) to 14 May 2025, with 4001 observations. The data reached an all-time high of 2.890 NA in 26 Apr 2010 and a record low of 0.960 NA in 18 Sep 2024. China PB Ratio: Shanghai SE: 180 Index data remains active status in CEIC and is reported by China Securities Index Co., Ltd.. The data is categorized under China Premium Database’s Financial Market – Table CN.ZA: Shanghai Stock Exchange: PE and PB Ratio: Daily.

China Shanghai Stock Exchange: Index: SSE Composite Index data was reported at 3,279.030 NA in Apr 2025. This records a decrease from the previous number of 3,335.750 NA for Mar 2025. China Shanghai Stock Exchange: Index: SSE Composite Index data is updated monthly, averaging 3,080.285 NA from Jan 2012 (Median) to Apr 2025, with 160 observations. The data reached an all-time high of 4,611.740 NA in May 2015 and a record low of 1,979.210 NA in Jun 2013. China Shanghai Stock Exchange: Index: SSE Composite Index data remains active status in CEIC and is reported by Exchange Data International Limited. The data is categorized under Global Database’s China – Table CN.EDI.SE: Shanghai Stock Exchange: Monthly.

Including the original data set and preprocessing data set two excel documents. The original dataset document contains time (month and year), wholesale price of agricultural products 200 index, industrial value-added growth rate, broad money supply, 7-day interbank lending rate, the Shanghai Composite Index, the area of sales of commercial properties, sales of commercial properties, housing sales prices and other 9 variables, totaling 459 records. The preprocessed data set document is the data document after preprocessing such as fixed-base conversion and reduction of serial fluctuation on the basis of the original data set, which contains 7 variables such as time (month and year), logarithm of wholesale price of agricultural products 200 index, logarithm of the year-on-year growth rate of value added of industry, logarithm of the supply of broad money, logarithm of 7-day interbank lending rate, logarithm of the Shanghai Composite Index, logarithm of the price of housing sales, etc., totaling 357 records.

China Shanghai Stock Exchange: Index: SSE Medium Enterprise Composite Index data was reported at 1,246.020 NA in Apr 2025. This records a decrease from the previous number of 1,258.100 NA for Mar 2025. China Shanghai Stock Exchange: Index: SSE Medium Enterprise Composite Index data is updated monthly, averaging 1,286.870 NA from Dec 2014 (Median) to Apr 2025, with 125 observations. The data reached an all-time high of 2,270.780 NA in May 2015 and a record low of 829.120 NA in Jan 2019. China Shanghai Stock Exchange: Index: SSE Medium Enterprise Composite Index data remains active status in CEIC and is reported by Exchange Data International Limited. The data is categorized under Global Database’s China – Table CN.EDI.SE: Shanghai Stock Exchange: Monthly.

CN: PE Ratio: Shanghai SE: Transportation data was reported at 15.330 NA in Mar 2025. This stayed constant from the previous number of 15.330 NA for Feb 2025. CN: PE Ratio: Shanghai SE: Transportation data is updated monthly, averaging 19.718 NA from Apr 2001 (Median) to Mar 2025, with 287 observations. The data reached an all-time high of 78.116 NA in Dec 2007 and a record low of 6.650 NA in Dec 2023. CN: PE Ratio: Shanghai SE: Transportation data remains active status in CEIC and is reported by Shanghai Stock Exchange. The data is categorized under China Premium Database’s Financial Market – Table CN.ZA: Shanghai Stock Exchange: PE Ratio.

CN: Market Cap: Shanghai SE: Tradable: Research & Development data was reported at 332,722.000 RMB mn in Mar 2025. This stayed constant from the previous number of 332,722.000 RMB mn for Feb 2025. CN: Market Cap: Shanghai SE: Tradable: Research & Development data is updated monthly, averaging 70,168.000 RMB mn from Jan 2013 (Median) to Mar 2025, with 147 observations. The data reached an all-time high of 577,890.000 RMB mn in Sep 2021 and a record low of 6,783.000 RMB mn in Jan 2013. CN: Market Cap: Shanghai SE: Tradable: Research & Development data remains active status in CEIC and is reported by Shanghai Stock Exchange. The data is categorized under China Premium Database’s Financial Market – Table CN.ZA: Shanghai Stock Exchange: Market Capitalization.

CN: Market Capitalization: Shanghai SE: Annual: Stock: A Share data was reported at 45,990,359.000 RMB mn in 2024. This records an increase from the previous number of 40,069,290.000 RMB mn for 2023. CN: Market Capitalization: Shanghai SE: Annual: Stock: A Share data is updated yearly, averaging 14,904,985.000 RMB mn from Dec 1993 (Median) to 2024, with 32 observations. The data reached an all-time high of 46,249,458.000 RMB mn in 2021 and a record low of 206,766.000 RMB mn in 1993. CN: Market Capitalization: Shanghai SE: Annual: Stock: A Share data remains active status in CEIC and is reported by Shanghai Stock Exchange. The data is categorized under China Premium Database’s Financial Market – Table CN.ZA: Shanghai Stock Exchange: Market Capitalization.

CN: Market Cap: Shanghai SE: Tradable: Preferred data was reported at 758,102.000 RMB mn in Apr 2025. This records a decrease from the previous number of 760,324.000 RMB mn for Mar 2025. CN: Market Cap: Shanghai SE: Tradable: Preferred data is updated monthly, averaging 763,461.000 RMB mn from Dec 2021 (Median) to Apr 2025, with 41 observations. The data reached an all-time high of 791,000.000 RMB mn in Jun 2022 and a record low of 753,848.000 RMB mn in Jan 2024. CN: Market Cap: Shanghai SE: Tradable: Preferred data remains active status in CEIC and is reported by Shanghai Stock Exchange. The data is categorized under China Premium Database’s Financial Market – Table CN.ZA: Shanghai Stock Exchange: Market Capitalization.

CN: Market Cap: Shanghai SE: Tradable: Environmental Protection data was reported at 198,432.000 RMB mn in Mar 2025. This stayed constant from the previous number of 198,432.000 RMB mn for Feb 2025. CN: Market Cap: Shanghai SE: Tradable: Environmental Protection data is updated monthly, averaging 76,551.000 RMB mn from Jan 2013 (Median) to Mar 2025, with 147 observations. The data reached an all-time high of 198,432.000 RMB mn in Mar 2025 and a record low of 24,256.000 RMB mn in Jul 2013. CN: Market Cap: Shanghai SE: Tradable: Environmental Protection data remains active status in CEIC and is reported by Shanghai Stock Exchange. The data is categorized under China Premium Database’s Financial Market – Table CN.ZA: Shanghai Stock Exchange: Market Capitalization.

指数:上海证券交易所:上证收益在05-14-2025达3,810.0702020年7月21日 = 3320.89，相较于05-13-2025的3,777.3302020年7月21日 = 3320.89有所增长。指数:上海证券交易所:上证收益数据按日更新，07-21-2020至05-14-2025期间平均值为3,414.7552020年7月21日 = 3320.89，共1166份观测结果。该数据的历史最高值出现于10-08-2024，达3,878.0602020年7月21日 = 3320.89，而历史最低值则出现于02-05-2024，为2,921.0002020年7月21日 = 3320.89。CEIC提供的指数:上海证券交易所:上证收益数据处于定期更新的状态，数据来源于上海证券交易所，数据归类于中国经济数据库的金融市场 – Table CN.ZA: Shanghai Stock Exchange: Indices: Daily。

上海证券交易所：指数：SSE Composite Index在04-01-2025达3,279.030NA，相较于03-01-2025的3,335.750NA有所下降。上海证券交易所：指数：SSE Composite Index数据按月更新，01-01-2012至04-01-2025期间平均值为3,080.285NA，共160份观测结果。该数据的历史最高值出现于05-01-2015，达4,611.740NA，而历史最低值则出现于06-01-2013，为1,979.210NA。CEIC提供的上海证券交易所：指数：SSE Composite Index数据处于定期更新的状态，数据来源于Exchange Data International Limited，数据归类于全球数据库的中国 – Table CN.EDI.SE: Shanghai Stock Exchange: Monthly。

上海证券交易所：指数：综合指数在05-14-2025达3,403.9501990年12月19日=100，相较于05-13-2025的3,374.8701990年12月19日=100有所增长。上海证券交易所：指数：综合指数数据按日更新，01-03-1994至05-14-2025期间平均值为3,021.2851990年12月19日=100，共7610份观测结果。该数据的历史最高值出现于06-12-2015，达5,166.3501990年12月19日=100，而历史最低值则出现于06-27-2013，为1,950.0101990年12月19日=100。CEIC提供的上海证券交易所：指数：综合指数数据处于定期更新的状态，数据来源于上海证券交易所，数据归类于高频数据库的金融及期货市场 – Table CN.ZA: Shanghai Stock Exchange: Indices: Daily。

成交数量:上海证券交易所:上证收益在05-14-2025达46,493.444百万股，相较于05-13-2025的42,624.070百万股有所增长。成交数量:上海证券交易所:上证收益数据按日更新，07-21-2020至05-14-2025期间平均值为32,698.620百万股，共1166份观测结果。该数据的历史最高值出现于10-08-2024，达131,346.019百万股，而历史最低值则出现于10-27-2020，为14,911.560百万股。CEIC提供的成交数量:上海证券交易所:上证收益数据处于定期更新的状态，数据来源于上海证券交易所，数据归类于中国经济数据库的金融市场 – Table CN.ZA: Shanghai Stock Exchange: Turnover: Volume: Daily。