一直以来，中国的股票市场只能进行看多交易，2010年3月，融资融券交易制度开始正式实施，使得卖空交易的可能性成为现实。随后的几年间，中国融资融券交易从无到有，经历了五次扩容，标的股票也由最初的90只增长至950只，占当时A股全部交易股票的1/3。虽然融资融券的交易规模不断扩大，但是融资与融券交易规模的差距也十分明显，从而表现出以融资交易占据主导地位，融券交易持续低迷的情况。 融资融券交易在制度设计初期，被承载了促进中国股票市场健康发展的厚望，期望其能够通过促进股票价格对市场信息的反应速度，提高市场的定价效率，并降低对应股票价格的波动性。而在制度推出后的2015年，股票市场的暴涨暴跌则彻底颠覆了人们对该制度的认知。部分学者认为，正是融资融券交易中杠杆的无序使用导致了这次股票市场的大幅度波动。 为了证实融资融券交易对标的股票的真正影响效果，本文以融资融券标的股票的价格形成机制作为理论基础，认为不论是融资交易还是融券交易，均能够提高标的股票的定价效率，并降低其崩盘风险。因此，本文选取2011年12月6日至2015年8月15日期间的融资融券标的股票的交易数据，实证融资交易、融券交易以及融资融券交易失衡程度对标的股票定价效率和崩盘风险的影响。 通过构建面板数据回归，本文得到了以下研究结果：融资交易对股票价格的定价效率影响不明确，并加剧了其崩盘风险；融券交易能够显著提升标的股票的定价效率，并降低崩盘风险；因为融资融券交易规模的极度失衡，融资融券交易失衡整体表现出了对标的股票定价效率和崩盘风险的不利影响。进一步的，本文得出了决定股票市场暴涨暴跌的根本原因不在于融资融券交易本身，而是融资融券交易规模的极度不平衡，导致市场最终表现出了杠杆的过度使用和多空不协调的特性，这种不利影响对风险的持续累积，加速了市场泡沫的形成和破灭。 最后，本文基于以上分析和结论，从增加融资融券标的股票的数量、加强对融资杠杆交易的监管、提升投资者风险意识以及对卖空交易分类监管四个角度，对现行的融资融券交易制度提出了相关政策建议。

Until March 31, 2010, the introduction of margin-trading and short-selling system ended the history of "unilateral market" in China. In the years that followed, margin-trading and short-selling in China grew from zero to five times, and the number of underlying stocks grew from 90 to 950, accounting for one-third of all A stocks trading at the time. Although the transaction scale of margin trading and short selling keeps expanding, the gap between the transaction scale of margin trading and short selling is also very prominent, which shows that margin trading dominates and short selling trading remains sluggish. In the early stage of the system design, margin-trading and short-selling was loaded with high hopes of promoting the healthy development of China's stock market, hoping that it could improve the pricing efficiency of the market and reduce the volatility of corresponding stock prices by promoting the speed of stock prices responding to market information. However, after the introduction of the system in 2015, the sharp rise and fall of the stock market completely overturned people's cognition of the system. Some scholars believe that it is the disorderly use of leverage in margin trading that led to the large stock market fluctuations. In order to verify the real impact of margin-trading and short-selling on China's stock market, this paper starts from the price determination mechanism of margin-trading and short-selling on the underlying stock, and argues that both margin trading and short selling can improve the pricing efficiency of the underlying stock and reduce its crash risk. Therefore, this paper selects the trading data of the underlying stocks of margin-trading and short-selling in the period of December 6, 2011 to August 15, 2015, calculates the empirical impact of margin trading, short selling trading, and the degree of imbalance of margin trading and short selling trading on the pricing efficiency as well as crash risk of the underlying stocks. By constructing panel data regression, the following research results are obtained: margin trading has an unclear impact on the pricing efficiency of stock price, and aggravates its crash risk; short selling can significantly improve the pricing efficiency of the underlying stock and reduce the risk of crash. Due to the extreme imbalance of margin trading scale, the overall imbalance of margin trading shows an adverse impact on the pricing efficiency of the underlying stock price and the crash risk. Further, this paper believes that the root cause of the slump in the stock market boom is not the margin trading itself, but the extreme imbalance of margin trading scale. The market eventually shows the feature of leverage by large scale of margin trading, and through continuous cumulative risk, led to the rapid development of a market bubble and following bubble busting. Finally, according the statements above, this paper tries to make some relevant policy suggestions for the current margin trading system from the following four perspectives: increasing the number of the underlying stocks in margin trading and short selling; strengthening the supervision of margin trading; enhancing the risk awareness of investors; and classified supervision of short selling trading.