By taking seven kinds of the components becoming Exchange Traded Fund （ETF） of margin trading underlying securities as constructing group，by taking seven kinds of the components not becoming ETF of margin trading underlying securities as contrast group，by using difference in difference model to study the difference of China’s ETF market liquidity before and after ETF becomes margin trading underlying securities，this paper analyzes the net influence of margin trading on the market liquidity of ETF and the reliable results show that margin trading boosts market liquidity of China’s ETF and improves the quality of the ETF market. Thus，both of the market supervisors and exchangers of ETF need to take different actions before and after ETF enters into margin trading underlying securities.