There is a common factor behind the three markets of the housing sales market, the land market and the housing leasing market, that is, "Implicit effective prices", and the prices of the three markets are driven by this common factor internally. For long term research, the Gonzalo and Granger permanent instant models and the Hasbrouck information sharing model are used to measure the contribution of the three markets to the "implied effective prices" and to get the price relationship between the three markets. For the short term research, Granger non-causality test and impulse response function are used to analyze the relationship. The results show that in the long run, the sales price of housing plays a leading role in the decision of "implied effective house price”; In the short term, there is a significant two-way causal relationship between housing sales price and land price. The housing leasing market is relatively independent in the formation mechanism of house price.

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