Owing to time series has Nonlinear and strong random volatility, this research from the perspective of volatility, using the EGARCH (1,1) model to verify whether the margin tradings’ influence on the stock market is different when the stock market at the stable or dramatic?fluctuation? stages. The results showed that: margin trading has different effects on the stock market’s volatility in different stages . (A) In the case of changes in the stock market is relatively stable, the margin can control the volatility of the stock market, while when the stock market rising?and?dropping?suddenly?and?sharply,it was able to significantly increased volatility of the stock market. (B) Stock market volatility has leverage effect. Bad news have a greater volatility of the stock market than the good news in a stable stage;while the good news leads to greater volatility than the bad news during the dramatic fluctuation stages.