The margin trading system enhances response speed of stock price to market information and enhances the heterogeneity by margin trading, so as to improve the pricing efficiency of stocks. Based on the econometric test model, this paper uses the trading data of Ashare market from March 31, 2010 to December 31, 2019 to analyze the impact of margin trading on stock price response speed and heterogeneity in China. The results show that on the whole, the implementation of margin trading and its successive expansion can improve response speed of underlying stock price to market information, but can not significantly enhance its heterogeneity, and the improvement effect of short selling on stock price response speed and heterogeneity in the bull market is significantly stronger than that of margin trading, while the effect of both of them on stock price heterogeneity will disappear in the bear market. If the asymmetry constraint is alleviated, although short selling is not helpful to the improvement of stock price heterogeneity, it can further enhance its response speed. For this reason, we should continue to expand the scope of margin trading targets, strengthen investor education, and gradually alleviate asymmetric constraints, so as to improve the efficiency of the stock market.