ICAD: replication data

Data for Price limits and measured risk in China: invariance, calibration, and a pre-trend diagnosis (Liu, Chen, Liu and Pan).

Code and documentation: https://github.com/ChenJiahaoJNU/ICAD

File	Content	Rows	Size
panel_merged.parquet	Analysis panel: 444 A-share stocks, 2,676 trading days (2014-01-02 to 2024-12-31)	1,188,144	39 MB
panel_v3.parquet	Stock-year panel, variance ratios on rolling 250-session windows	3,127	1.2 MB
units.parquet	Stock-half-year panel, variance ratios on rolling 125-session windows	219,798	7.8 MB

Where to put these files

Download them into the repository layout expected by the code:

data/panel_merged.parquet
results_v3/panel_v3.parquet
results_sc/units.parquet

Source

Raw prices come from the Baostock open interface (https://www.baostock.com): unadjusted daily OHLC, exchange-provided previous close, trading status and the delisting-risk-warning flag for Shanghai and Shenzhen listed securities. Nothing here is proprietary or restricted.

Limit prices are reconstructed from the previous close and the applicable band (5% for delisting-warning stocks, 20% for ChiNext from 24 August 2020, 10% otherwise) and rounded to the nearest fen.