A giant magnetoresistive material film includes at least two ferromagnetic layers of a NiFe alloy or NiFeCo alloy, which are formed on a substrate through a nonmagnetic layer of Au, Ag, Cu or Cr, wherein magnetization of at lest one of the ferromagnetic layers is pinned by a coercive force increasing layer of .alpha.-Fe.sub.2 O.sub.3 provided adjacent thereto and having a thickness of 200 to 1000 .ANG. so as to increase coercive force of the ferromagnetic layer, and the other ferromagnetic layer has free magnetization so as to produce a change in resistance at a low magnetic field. The present invention also provides a method of producing the giant magnetoresistive material film and a magnetic head provided with the giant magnetoresistive material film.