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This paper aims to discuss the influence of migration policy risk on market segmentation of housing and rental markets in the Euro Area. Policy risk is represented by the Migration Policy Uncertainty Index (MPUI) and Migration Fear Index (MFI) of Germany and the United Kingdom; in this study, whether these indexes influence the interaction between the housing and rental markets of the two countries and euro-area countries was examined. The empirical results showed that the influence of the United Kingdom's migration policy risk on the euro-area countries is higher than that of Germany. The United Kingdom's MPUI and MFI significantly contribute to the influence of the United Kingdom's housing market on other markets except for Belgium and Spain. Compared with housing market connectedness, the rental market connectedness is less influenced by migration policy risk and migration fear. This may be because variables related to short-term residence policies influence the rental market. The high policy risk is more likely to influence decisions related to long-term house purchase, but not those related to short-term residence. Finally, this study found that the higher the uncertainty of the migration policies of the United Kingdom and Germany is, the higher the house market segmentation is. [ABSTRACT FROM AUTHOR]