La0.7Ca0.3MnO3/CaO (LCMO/CaO) multilayers were deposited on (100) LaAlO3 substrates by pulsed injection metal organic chemical vapour deposition. The samples were characterised by X-ray diffraction, transport and magnetization measurements. An anomalous behaviour of the electrical resistance under applied magnetic field and an exchange bias effect for the magnetization are observed for the multilayers with thinner LCMO layers. These results suggest the existence of a short range antiferromagnetic coupling at the layer interfaces.