This paper studies the effect of margin trading mechanism on the pricing efficiency of under-lying securities .Based on the analysis of the ETF premiums rate and its influencing factors ,it is found that the ETF pricing efficiency has been improved after margin trading presence as well as transaction cost remission .Specifically ,both margin trading presence and transaction cost remission ameliorate the pricing efficiency of ET F by decreasing the cost of arbitrage .On one hand ,transaction cost remission directly reduces the explicit arbitrage cost ;on the other hand ,it reduces the inexplicit arbitrage cost through enhancing the market liquidity .Margin trading ,as another channel of arbi-trage ,decreases the effect of market illiquidity on the intrinsic inter-market arbitrage cost and en-hances the pricing efficiency of ETF .%通过分析ET F作为融资融券标的前后折溢价率水平变化及其影响因素，发现融资融券推出和交易费用减免都显著提高了ET F的定价效率。具体而言，融资融券推出与交易费用减免都是通过影响ET F的套利成本来提高其定价效率的。交易费用减免一方面直接降低了套利显性成本，另一方面通过提高市场流动性降低了套利隐形成本；而融资融券推出为ET F交易提供了额外的套利渠道，降低了市场非流动性对原有的跨市场套利的影响，从而提高其定价效率。
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