By taking 50 kinds of stocks involved in the underlying securities of centralized securities lending & borrowing as processing group，by taking 50 kinds of stocks involved in the underlying securities of margin trading but not involved in the underlying securities of centralized securities lending & borrowing as contrast group，by using the transaction data of nearly 10 months before and after the implementation of centralized securities lending & borrowing，the net influence of the implementation of centralized securities lending & borrowing on the market quality such as liquidity，volatility，order and so on is studied based on difference in difference model，the obtained reliable conclusion is that centralized securities lending & borrowing improves the liquidity of securities market to certain extent，significantly restricts the volatility of securities market，obviously boosts the validity of securities market and generally improves the quality of securities market. Securities market supervisors should further broaden the scope of the underlying securities of centralized securities lending & borrowing，increase the quantity of the underlying securities of centralized securities lending & borrowing，make different processing for the securities before and after entering into the underlying securities of centralized securities lending & borrowing，meanwhile，the traders should also make proper choice while making transaction strategies.