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Since March 2010 since China began to experiment margin trading, margin trading in China has been carried out in full swing, it changed China’s "city side" of the pattern, has now entered a short time. Margin transactions 300 years ago, almost simultaneously modern finance, which have been developed in foreign countries is very mature or new things in our country, so our margin in the promotion have a long way to go. In other countries, short trading has become the mainstream of modern financial developments, short is where the main ideas of financial innovation. But many people are short of arguments, its like a "double-edged sword" on the stock market both positive and negative implications. Every financial crisis gave people a "impression", that is short on credit transactions such as stock market volatility has played a role in fueling the credit short-mechanism can be more severe stock market volatility. But many scholars through a lot of empirical and theoretical studies that margin trading and other financial instruments with credit short classes to carry out not only do not contribute to the stock market volatility stock market volatility, but would help reduce the volatility of the stock market. And margin trading business in China as the country has just launched, it will China’s stock market and what impact it? This is the Institute of this article. In this paper, the famous model of financial time series-GARCH (1,1) model, has been selected to carry out China’s actual margin data, margin trading, stock market volatility of the issue of empirical test and found that the short term, conduct of margin trading have little effect on China’s stock market, or the result was not significant, but in the long run, before and after can be found, margin trading can significantly ease the volatility of the stock market, and promote the development of modern finance.
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