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Effective stress law of all kinds of coal samples, including steam coal, fat coal, corking coal, thin coal and anthracite, under pore pressure of gas, is experimentally studied using a newly developed test machine. These samples are taken from Coal Mines in Wuda, Hebi, Yanzhou, Yangquan, Qingshui, and Gujiao in China. The experiment results show that, under pore pressure of gas, the tested coal samples comply with Biot's effective stress law,where the Biot's coefficient α is not a constant, and is bilinear function of volumetric stress (Θ) and pore pressure (p), that is,We define four areas according to the numerical feature of α, that is, functionless area of pore pressure, normal function area, fracturing function area, and quasi-soil function area. The effective stress law of coal mass introduced by this paper is a constitutive equation in the study of coupled solid and fluid. This has significance in the drainage and outburst of methane in coal seam.