On December 2，2016，Shanghai Stock Exchange and Shenzhen Stock Exchange simultaneously revised the Implementation Ｒules for Margin Trading and Short Selling． According to the new rules，stocks with P /E ratios greater than 300 will no longer be eligible as financing collaterals． This paper uses this institutional change as a natural experiment to test its impact on margin purchasing and stock prices． The results show that: first，the revised margin trading rules effectively reduce the overall margin purchase amount in the market，especially for stocks with a high price earnings ratio and stocks with a high financing leverage; second，the revised margin trading rules have generated some crowding out effect，by relatively increasing the margin purchase for high beta and high turnover companies; third，the decline of margin purchase significantly affects stock prices，especially for the stocks with low price elasticity． The evidence suggests that，when formulating deleveraging rules in various fields，a multi-dimensional index system may help mitigate associated crowding out effect． It will also be helpful to take into consideration the impact on market supply and demand condition as well as price elasticity of assets，so as to avoid large fluctuations in asset prices．