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This paper investigates the formation mechanism of media effect in Chinese stock market. We prove the existence of media effect in Chinese market and examine the three hypotheses (Impediment to Trade Hypothesis, Return Continuation and Reversal Hypothesis and Investor Recognition Hypothesis) of its formation mechanism respectively. We compare the media effect in Main Board, Small and Medium Enterprise Board, and Growth Enterprise Market respectively. We find media effect is most significant in Growth Enterprise Market and the result is consistent with Impediment to Trade Hypothesis. We divide our samples into 4 quartiles and the results are consistent with Return Continuation and Reversal Hypothesis. We can not find significant relationship between analyst reports and stock return, therefore we can not prove the validity of Investor Recognition Hypothesis in Chinese market. This paper sheds light on Chinese Multi-level Capital market and extends empirical results of media effect in Chinese market.