Abstract: According to the background that coal sector movements is better than grail movements at present, and the disadvantages of deciding the weighing in multivariate evaluation, this paper builds the investment value index aiming to the coal sector, and we select the twenty coal listed company in the year of 2006 and 2007 as the samples. Based on the index system and samples, we integrated computing the investment value of samples by entropy method. After that, we compute the weighted average investment value of samples by the investment value of samples at year of 2006 and 2007. According to these, we classify the coal stocks as four types. Finally, we think that the index system and entropy method are fit to the investment value of coal listed Company.