Abstract: As an important short selling mechanism，margin trading plays an important role in correcting mispricing and promoting market liquidity．However，its leveraged trading characteristics of margin trading not only promote market liquidity but also cause a lot of speculations，which aggravates stock market volatility．In terms of research content，in order to analyze the mechanism of margin trading and investors' heterogeneous beliefs on stock mispricing in China's multi-level capital market under different stock price bubbles，firstly，the influence mechanism of short-selling constraint and investor' heterogeneous beliefs on stock price bubbles theory was deeply analyzed．Then，through Error Correction Model，the stock price bubble indicators of Shanghai main board market and Shenzhen main board market based on macroeconomic fundamentals are obtained． Finally for the quantification of margin trading influence on stock price bubbles，in terms of empirical research，we build the infinite Markov Regime Switching Vector Autoregressive model which embedded Dirichlet Process．Under the given prior distribution，bayesian estimation of time-varying parameters and regime analysis results of the model are obtained by using MCMC estimation method．The research results show that: ①the margin trading mechanism of Shanghai Main Board market has the characteristics of leverage trading that accelerates the release of risks，leading to asymmetric expression of investor sentiment so as to mispricing of stocks．However，margin trading in Shenzhen main board market does not show strong leverage trading characteristics．②The regime analysis results show that both main market margin trading has the characteristics of short selling to a certain extent to absorb investor sentiment changes，whose influence feature on the main board market in Shenzhen is significantly stronger than that in Shanghai．It further indicates that the margin trading in Shenzhen main board market has greater power to correct stock mis- pricing．③During the active stock price bubble on the main boards of Shanghai and Shenzhen，the increasing positive influence of investors' heterogeneous beliefs on margin trading indicates that investors are more willing to express themselves through margin trading，so its rapid increase can serve as an early warning signal of abnormal stock price fluctuations．The time-varying quantitative results based on the RTV-VAR model support that margin trading has both short selling char- acteristics and leverage trading characteristics at the same time and these two characteristics have a strong different impact on stock markets． The conclusion of this study is conducive to understanding the influence mechanism between margin lending，short selling policies，and stock mispricing with certain practical value and reference significance for short selling policy formulation and investor risk aversion．

Keywords: asymmetric margin trading; stock mispricing; heterogeneous beliefs; leverage features; short-selling constraint