The EICAR test file was developed by the European Institute for Computer Antivirus Research (EICAR) and Computer Antivirus Research Organization (CARO) to test the response of computer antivirus programs. Instead of using real malware, which could cause real damage, this test file allows people to test anti-virus software without having to use a real malware sample.
So, this file is NOT actually malicious, but by industry-wide agreement this file is detected as malicious by mainstream products with antivirus functionality so that people can verify that their anti-malware product’s detection capability is configured correctly.