This paper studies the impact of short selling and margin trading on China's A-share market using event study approach. We examine the skewness of returns and frequency of extreme negative returns for those stocks which were newly added or removed from the margin trading securities. The research shows that the stock return has a significant negative skewness after the implementation of margin trading in China, but the frequency of extreme negative returns has not changed significantly. These findings are different from results from foreign markets. We find that the frequency of extreme positive returns has declined and this leads to a more negative skewness without an increase in the frequency of extreme negative returns. Therefore, we could conclude that short selling and margin trading in China are helpful to stabilize the China's stock market.