This study attempted to analyze the cyclical lead-lag relationships of the stock, bond, and real estate markets with respect to business cycle fluctuations. To this end, analyses were conducted comparing the turning points of each asset price against business cycle turning points, as well as analyses based on the Sims and Geweke-Meese-Dent exogeneity models. First, by analyzing the average lead and lag periods of each asset price's peaks and troughs relative to the business cycle peaks and troughs announced by the National Statistical Office, the stock market was found to lead by 9 to 10 months, the bond market to lag by 8 months, and the real estate market to lag by 12 months. Analysis of changes in investment returns for each asset at business cycle turning points revealed that the highest returns were achieved by making sell and buy investment decisions in the stock market 13 months before the peak and 6 months before the trough; in the bond market 12 months after the peak and 5 to 6 months after the trough; and in the real estate market 14 months after the peak and 11 to 12 months after the trough. Furthermore, according to the Sims exogeneity test results, exogeneity could not be confirmed for the stock market, but the bond and real estate markets exhibited lagging exogenous relationships of 7 months and 12 months, respectively. According to the Geweke-Meese-Dent test results, the stock market showed a 9-month leading exogenous relationship, the bond market showed no statistically significant relationship, and the real estate market exhibited a 12-month lagging exogenous relationship. Synthesizing these research findings, it can be interpreted that in Korea, the stock market leads business cycle fluctuations by approximately 9 months, the bond market lags by approximately 6 to 8 months, and the real estate market lags by approximately 12 months.