We apply data from five OECD countries during the period 1980/Q1 – 2010/Q2 to examine the causal relationship between the stock market and real estate market by using quantile regression causality analysis. The wealth effect is more significant in almost all the quantile intervals, especially in Canada and Japan. Surprisingly, in the tail quantile interval, we can often find that these two markets have a significant two-way causal relationship. The existence of significant tail interdependence implies that investors are unable to hedge the risk across the real estate and stock markets in extreme volatility.