Abstract: Based on the nonlinear time-varying factor model and spillover index model, the present study examines the real estate price spillover effects of 35 large and medium-sized cities, clubs and membersof clubs in the new and second-hand housing markets in China. The convergence test finds that there are three convergent clubs and one divergent group in China's real estate markets. Cities within the same convergent club have similar initial real estate price levels and similar structural characteristics. As time goes by, they will approach the average value of each club and eventually tend to a local steady state. Further spillover effect study shows that Shenzhen, Shanghai and Nanjing are the price "leaders" in the newly-built housing market, while Beijing, Shanghai, Hangzhou and Shenzhen are the price "leaders" in the second-hand housing market. At the club level, the spillover of Club 1 in the newly-built housing market is obvious,while the spillover of Club 2 in the second-hand housing market is prominent; The spillover between cities within the club is relatively complex, and changes in the total spillover index reflect the regulatory effects of various policies.

Keywords: real estate price; club convergence; spillover effects