This study examines the relationship between bond and credit default swap (CDS) markets in Southern European countries during the financial crisis. It analyzes how changes in bond spreads impact CDS spreads, and vice versa. The research shows that during times of uncertainty, CDS markets reflect credit risk information first, affecting borrowing costs. The study also finds that the direction of influence between bond and CDS markets changes over time, depending on financial conditions. Ultimately, the findings suggest that CDS markets play a crucial role in determining credit risk pricing in these countries.