These are the daily closing prices of three stock indices including Shanghai Securities Composite Index (SSEC), the Shenzhen Securities Component Index (SZI) and the Standard & Poor 500 Index (SPX). The data is obtained from Yahoo Finance (https://finance.yahoo.com) and collated. The SSEC data is from December 19,1990 to May 25, 2023. The data of SZI is from April 3, 1991 to May 25, 2023, and the data of SPX is from December 3, 1990 to May 25, 2023.