The purpose of this paper is to explore the spatial diffusion and convergence of urban housing price by using the housing price data of nine cities in the Pearl River Delta over the period 2001Q1 to 2010Q4. The Cointegration Test, Multivariable Granger Causality Test, Generalized Impulse Response Function and Panel Data Unit Root Test were employed. The results show that the regional housing prices in the Pearl River Delta have a tendency towards stable long-run relationships, the housing prices of Shenzhen, Guangzhou and Zhuhai, the “Pivotal Cities” of the three sub-regional housing market in “Shen-Guan-Hui”, diffuse to other cities within own sub-regional market, while the housing price of Shenzhen diffuses to the sub-regional market in “Guang-Fo-Zhao” and “Zhu-Zhong-Jiang”. The further investigation indicates that the nine cities of Pearl River Delta exhibit regional housing price convergence based on the Guangzhou, Shenzhen and Zhuhai. The findings can help government to formulate differentiate intervention strategies as well as regulate the regional housing market.