The paper makes studies on the relationship between the stock returns of listed banks and the ones of real estate companies in USA, Hong Kong and the Chinese mainland, and finds that the fluctuation of real estate stocks has significant impacts on the stock returns of banks. Then it points out the function time of mortgage crisis through analyzing the struc- tural differences of the data from USA, Hong Kong and the Chinese main- land. The regression coefficients which indicate the sensitivity of stock re- turns of banks to the fluctuation of real estate stocks are bigger after the mortgage crisis than the ones before the mortgage crisis. The real estate risks that bank industries in USA and China are faced with have been changed from non-systematic ones to systematic ones, and are more serious.

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