Cohesion refers to the linguistic devices by which the author can signal the experiential and interpersonal coherence of the text, and is, thus, a textual phenomenon . The research has two purposes, i.e. to know the kinds of Grammatical cohesion and to explain how grammatical cohesion makes the narrative text, 'The Cop and the Anthem', coherent. The data is taken from an anthology of O Henry's short stories, The Stories of O Henry. The research uses qualitative as well as quantitative methods. The story is analyzed using cohesion theory by Michael Halliday and Ruqaiya Hasan. The result of the research shows that all types of grammatical cohesion, Personal reference, Substitution, Ellipsis and Conjunctions, are found in the text. Based on the analysis, the grammatical cohesive ties in the text construct the unity as well as the context in the text. In other words, the grammatical cohesion makes the text function in which it is embedded. It can be said that grammatical cohesion creates the coherence of the text.