Whether the introduction of margin trading and short selling decreases extreme co-movements between individual stocks and market index is an essential issue. Using the symmetrized Joe-Clayton copula (Patton[9]) , left and right tail dependence between individual stocks and market index are estimated, and a difference-in-difference (DID) analysis is applied to examine the treatment effect of margin trading and short selling. The paper finds that the newly introduced mechanism decreases left tail dependence, but increases right tail dependence. Further regression analysis finds that the above asymmetric effects result from the different impacts of margin trading and short selling on tail dependence. Particularly, margin trading has no significant effect on left tail dependence, but increases right tail dependence; short selling decreases both left and right tail dependence. As margin trading volume is far beyond short selling volume, the net effect is positive for right tail dependence, but negative for the left. Therefore, positive feedback trading strategies by margin traders amplify right tail dependence, while short selling incorporates the belief of pessimistic investors and cools down the market sentiment. Therefore, regulators should control the leverage ratio of margin trading, and improve the short selling mechanism to utilize its role as a price stabilizer.