This paper studies the impact of financial companies adopting big data strategy on the value relevance of fair value hierarchy measurement, which is based on financial industry listed companies with the disclosure of fair value from 2010 to 2015. By using panel data and random effects regression models, we find that, compared to other financial industries，bank and insurance industry have a higher value relevance on the accounting information of fair value. By an analysis and comparison，we find that the fair value hierarchy measurement of assets and liabilities has a value relevance on the whole. The bank and insurance adopting big data strategy can enhance value relevance of assets on the level 1 and 2 and this influence is gradually decreased with decreasing of the measurement level but this difference was not significant on level 3; adopting big data strategy enhances value relevance of assets on the level 1and 2, but this difference was not significant on the level 3.