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The lead-lag effect is always a hot topic in modern finance theory and has attracted a lot of attention from academics and industry.Many researchers have engaged in exploring the causes of this effect from the perspective of firm characteristics and find firm size,trading volume,analyst coverage are important contributors.China has launched its long-awaited trial program for margin trading and short selling on March 31,2010,which provides a natural experiment for us to find out an alternative contributor to the lead-lag effect from the viewpoint of market mechanism.To the best of our knowledge,this paper is the first attempt to explicitly explore this issue by combining the margin buying and short selling information,furthermore,we find that difference of magnitudes of both margin buying and short selling would matter in generating lead-lag effect among large firms which always attract more investor attention and have more information production and more informed sophisticated investors market participation.