A new model called Threshold Auto-Ｒegressive Conditional Density model with exogenous shocks ( abbreviated to be TAＲCD-X) is developed in the present work． The advantage of this model is that it accommodates all twelve relationships between the four types of information shocks and three indicators of market stability．Therefore，the model can be well employed to investigate the impact of margin trading on the stability of stock market from a dynamic perspective． The shocks include the increase and decrease of stock market price，and trading volume． The indicators of market stability involve volatility，the asymmetry of large up and down movements，and the frequency of large movements of the stock market． The empirical results documented that:(1) eleven of the twelve relationships do not worsen except for the decreasing of trading volume hasa larger effect on conditional volatility after the execution of margin trading; (2) the changes in the margin trading account，as a new information shock，do not increase the volatility or the frequency of large movements，but are significantly correlated to the asymmetry of large up or down movement． This evidence is beneficial to building early warning indicators to identify large movement of stock market．