Abstract: This paper uses a regime switching approach to determine whether prices in the stock, direct real estate and indirect real estate markets are driven by the presence of speculative bubbles. The results show significant evidence of the existence of periodically partially collapsing speculative bubbles in all three markets. We then develop and implement a multivariate bubble model to evaluate whether the stock and housing bubbles spill over into REITs. We find the underlying property market bubble to be a stronger influence on the securitized real estate market bubble than that of the stock market. Furthermore, our findings suggest a multi-directional transmission of speculative bubbles between the direct real estate and stock markets, although this link is not present for the returns themselves.