In this study, liner unit root tests and panel unit root tests to the ratio of city to regional house price were applied to examine the ripple effects across 28 cities in the Yangtze River Delta region. Then invert LM unit root tests with two structural breaks for 10 representative cities were conducted. The results showed that there is overwhelming evidence of the existence of ripple effect in the Yangtze River Delta region, while segmentation is restricted to a small group of cities in which there is no long-run relationship with the Yangtze River Delta region average; compared to no- and one-break case, there is overwhelming evidence of a ripple effect with the LM test with two structural breaks. Furthermore, the results of the Granger causality test showed that changes in house prices in Shanghai, Nanjing and Hangzhou have led to changes in house prices in other cities. The findings of this research make certain contributions to the improvements of research system of ripple effect among regional house prices in the Yangtze River Delta Region,and could be referenced by other markets of other cities.
This study is funded by the National Science Council of P.R.C (NSFC-71372199, 71771052) and Postgraduate Research & Practice Innovation Program of Jiangsu Province (KYCX17-0191, KYLX16-0303, KYLX15-0097), for whom the authors very grateful.