To examine the characteristics of return volatility in Chinese housing market, this paper based on the dynamic Gordon model, selected 4 variables including market return, rental yield, risk-free interest rate, and per capita disposal income to establish the vector autoregression model, and then analyzed the influencing factors and dynamic features of return volatility of the housing markets in 5 major cities using 1999Q2-2011Q2 data. The results show that, the news of rental growth have the strongest impacts on the volatility in housing returns, followed by the interest rate news, and the expected return news as the weakest. The correlation between rental growth and interest rate lowers the return volatility. The impacts of expected return news and interest rate news on market return volatility are consistent in Chinese cities, but the news of the rental growth present the heterogeneous feature. The impacts of expected return news and rental growth news last for about 1 year, while the absorption of the interest rate news takes 2 years, and regional disparities are found for different Chinese cities in terms of response intensity and adjustment speed.