This paper investigates the value effect in Chinese A stock market by using MCSD. Shenyin Wanguo A stock market index is selected as the core portfolio, and the value and growth stock subsets are constructed respectively based on the P/E and P/B index. By comparing the subsets for MCSD, the results show that the value effect exists in China A stock market based on the P/E criteria, especially in bear market; whereas there is a reverse effect for the subset with P/B criteria, which is significant in the bull market after 2005. The results show that the financial information could be partly taken into account when making investment decision. In different market conditions, investors should refer to different financial multiples.