Based on the real estate data of 35 large and medium-sized cities in China, this article studies the co-movement and spillover effect of urban housing prices through dynamic correlation coefficient and Global VAR model. The dynamic correlation coefficient shows that the co-movement is strengthened when housing price increases and with each year passing by. According to the generalized impulse response results of GVAR model, significant spillover effect exists in urban residential property prices with that of eastern cities’ being the strongest and fastest. Though regional heterogeneity is present, interest rate has little impact on overall housing prices, with central cities showing the strongest response.