Promoting the high-quality development of the capital market is an important task of China’s economic and social development, and listed enterprises are the micro basis for the high-quality development of the capital market. At present, the capital market is growing rapidly in scale, but improving slowly in quality. Low pricing efficiency and insufficient stability are important reasons hindering the high-quality development of the capital market. With the advent of the digital economy era, data capitalization provides a new possible path to improve the pricing efficiency and stability of the capital market. However, most existing studies have focused only on one of the two aspects, either pricing efficiency or stability. Both pricing efficiency and stability are basic requirements for the high-quality development of the capital market and are closely related to each other. Therefore, it is necessary to incorporate pricing efficiency and stability into a unified analytical framework to examine the impact of data assetization on the performance of the capital market. This paper selects panel data from A-share listed companies in China from 2011 to 2022, and uses the data asset text dictionary constructed by He Ying et al. (2024) to measure the degree of data assetization of each company through the statistical keyword method using Python. Based on the dual improvement of capital market pricing efficiency and stability, this paper theoretically and empirically analyzes the impact of data assetization on the capital market. The study finds that data assetization significantly improves the pricing efficiency and stability of the capital market through three mechanisms: enhancing the level of information disclosure, suppressing earnings management, and increasing analyst attention. However, the specific mechanisms through which data assetization affects pricing efficiency and stability differ. Heterogeneity analysis shows that in state-owned enterprises, data assetization has a more significant impact on improving capital market pricing efficiency; in non-state-owned enterprises, data assetization has a more significant impact on improving capital market stability. In particular, in regions with a high degree of marketization, data assetization has a more significant impact on both pricing efficiency and stability. These heterogeneities are underpinned by profound economic reasons. The study concludes that data assetization can improve the performance of the capital market from multiple dimensions and has the potential to become an important force for the high-quality development of China’s capital market. The marginal contributions of this paper are as follows: First, this paper incorporates capital market pricing efficiency and stability into a unified analytical framework, examining the dual improvement of data assetization on both, thereby filling the gap in existing literature that focuses only on one dimension. Second, based on the theory of information asymmetry, this paper clarifies the mechanisms through which data assetization improves capital market pricing efficiency and stability by enhancing the level of information disclosure, suppressing earnings management, and increasing analyst attention. Third, this paper deeply analyzes the economic reasons behind the heterogeneous impacts of data assetization on the capital market from the perspectives of corporate ownership and degree of marketization. Fourth, this paper fully elaborates on the impact of data assetization on capital market pricing efficiency and stability from both theoretical and empirical perspectives, enriching the related research on the economic effects of data assetization. The research in this paper provides theoretical references for how to fully leverage the positive effects of data assetization to promote the high-quality development of the capital market in the digital economy era. It also offers insights for the development of a systematic policy framework for data assetization and the practice of corporate data assetization.