以2010年3月底的融资融券机制试点启动为标志，我国股票市场正式步入对其的初期探索阶段，后于2011年12月5日通过首次扩容转入常规业务操作，随后又于2013年至2014年间完成三次扩容，覆盖范围及业务规模迅速扩大。本文以首次扩容日和二次扩容日为关键分割时点，前后各延伸一年为样本期，选用双重差分模型探求了融资融券业务开展对标的个股定价效率的影响。研究发现，随融资融券业务发展趋于完善，单就时间维度而言，被纳入融资融券列表对标的个股定价效率存在显著的提高效用，但从其净影响来看，融资融券实质上减少了股价的特质信息含量，提高了标的股票收益的市场同步性，降低定价效率。考虑中国股票市场的实际现状，本文认为融资融券交易没有得以改善市场定价功能的主要原因在于市场投资者多倾向于利用其杠杆交易特性追踪大盘走势，导致标的股票的价格往往是市场趋势观点的表达，而非企业特质信息的表达，最后文章主要从放松卖空限制的角度提出了相应的政策建议。

The Securities Margin Trading (SMT) mechanism pilot in Chinese stock market was officially launched on March 31st in 2010 and then transferred into regular operation by adding more designated stocks on December 5th in 2011. After that, the target stock list has gong through three additions during 2013 to 2014. Based on the DID model with two sample periods, this paper examines the effect of margin trading on stock’s price efficiency. The empirical results suggest that with the rapid development of SMT mechanism, it tends to increase target stock’s pricing efficiency in terms of the time dimension. However, as for the net effect, the introduction of margin trading mechanism significantly reduces firm-specific information reflected in stock price and lowers price efficiency ultimately. Considering Chinese stock markets, a possible explanation for this negative effect is that Chinese investors tend to utilize the leveraging feature of margin trading more often to track the market trend. As a result, stock price is more of a reflection of market trend prediction, instead of the expression of firm-specific opinions. And eventually, this paper proposed several policy suggestions mainly focusing on the relaxation of short-sale constraints.