Using difference-in-difference model and monthly data of margin trading and shoring in Shanghai and Shenzhen A stock markets between August, 2008 and October, 2016, this paper analyses the impact of four large-scale expansions of stocks in margin trading and shorting on stock liquidity.It is found that enabling margin trading and shoring and the expansion of stocks in that field can significantly improve liquidity of underlying stocks, and the improvement in Shanghai stock market is more significant than that in Shenzhen market. Among the four expansions,there is difference in liquidity improvement of underlying stocks brought about by margin trading and shoring.The reason behind this is that policy effects are restricted by underlying stock quantity and the scales of margin trading and shoring.