Previous research has focused on the link between returns in the REIT industry, the stock market and the housing market. However, none, so far, have examined the possibility of bubble spillovers from either of the markets to the securitised real estate market. In this paper, we test for the presence of periodically collapsing bubbles in the three markets using a regime switching approach. Significant evidence of this class of bubbles exists in the three markets. Using a Granger causality test, we discover that bubbles spillover from the unsecuritised real estate market to the REIT market, only. Further analyses show that over eight quarters, over 9.5% of the variation in the REIT market bubble is caused by shocks to the housing market bubble compared to the stock market bubble which contributes to only 1.1% of changes. Given these findings, we proceed to compare REIT trading rules that rely on signals from the forecasted probabilities of a crash occurring in the unsecuritised real estate market to other strategies. Between 2000 and 2009, this trading rule outperforms the traditional buy-and-hold strategy.