Abstract: From the margin trading data of 545 days from September 22 to December 15 in 2014, and the Vector Error Correction (VEC) model is set up to analyze the impact of margin trading on the volatility of Chinese stock market. Results show that the margin trading can indeed reduce the volatility of the stock market, but the effect is limited. We should promote the business by means of broadening the stock exchange, increasing margin trading funds, supply more stocks and lowering the standard for the trading to further promote the volatility of margin trading.