为研究融资融券政策的实施对市场定价效率的影响，本文以沪深两市A股市场融资融券标的股票七次大扩容中涉及的股票及中证800指数中的非融资融券标的股票为研究对象，选取2011年8月8日至2023年2月24日为研究区间，基于双重差分（DID）模型展开实证分析，发现融资融券业务在开展的初期对于削弱中国A股市场反转效应具有显著作用，且削弱效果受到投资者熟练程度、资产流动性及信息不对称程度三方面市场交易约束因素的影响，具体表现为市场交易约束越弱，融资融券政策弱化反转效应的作用越显著。此外，融资融券政策的实施还能平稳投资者情绪，抑制投资者情绪对于市场定价效率的不利影响。最后，本文对于实证回归中出现的值得进一步关注的结果做出了解释，并基于此提出相应的政策建议。

In order to study the impact of the implementation of margin trading policy on market pricing efficiency, this paper takes the stocks involved in the seven major expansion of the underlying stocks of margin trading in the A-share market of Shanghai and Shenzhen and the non-margin trading underlying stocks in the CSI 800 index as the research object, and selects the period from August 8, 2011 to February 24, 2023 as the research interval. The empirical analysis based on DID model shows that margin trading plays a significant role in weakening the reversal effect of A-share market of China in the early stage of its development, and the weakening effect is affected by three dimensions of market transaction constraint: investor proficiency, asset liquidity and information asymmetry. Specifically, the weaker the market transaction constraint is, the more significant the weakening effect is. In addition, the implementation of margin trading policy can also stabilize investor sentiment and restrain the negative impact of investor sentiment on market pricing efficiency. Finally, this paper makes explanation of the empirical regression results that deserve further exploration, and puts forward corresponding policy recommendations basing on that.