This investigation explores the dynamic relation between transaction activity and price appreciation in an effort to determine if the UK property market displays a return chasing behaviour or a price pressure effect. Using quarterly data from 2001 to 2013, this article explores a topic that has limited coverage for the private property market and it’s considered a relatively unexplored field among researchers. The dynamic is tested at an aggregate level, by property type and by type of investor. Using a bivariate Vector Autoregressive (VAR) model, this investigation uses two measures of transaction activity (flows and purchases) to test for the relation between these and returns. Results show that at an aggregate UK level, there is evidence of return chasing behaviour. This implies that returns are predictive of future flows. The result is consistent for the industrial, retail, and office property types for at least one measure of transaction activity. By type of investor, results show that there is a price pressure effect for overseas investors, and a return chasing behaviour for institutional investors, quoted property companies, private property companies, and occupiers. No evidence of any interaction was found for private individuals and financial institutions. Moreover, lagged returns were found to be economic and statistically significant in explaining subsequent returns, reinforcing the appraisal bias property data has.