| Sample | Entity | Bond Spread do not Granger-Cause CDS Spread | CDS Spread do not Granger-Cause Bond Spread | Leader Market | ||
|
|
| Chi-Sq | Prob | Chi-Sq | Prob | |
| Financial corporate sample | IntesaSanPaolo | 78.12 | 0.000 | 2.4701 | 0.650 | BOND |
| UniCredit | 114.67 | 0.000 | 20.101 | 0.000 | Both | |
| BNP Paribas | 88.489 | 0.000 | 5.3882 | 0.250 | BOND | |
| SociétéGénérale | 97.651 | 0.000 | 2.0031 | 0.735 | BOND | |
| DeutscheBank | 21.781 | 0.000 | 12.792 | 0.012 | Both | |
| CommerzBank | 38.897 | 0.000 | 21.177 | 0.000 | Both | |
| Non-Financial corporate sample | Vivendi | 90.265 | 0.000 | 6.557 | 0.195 | BOND |
| Telecom Italia | 86.053 | 0.000 | 25.934 | 0.000 | Both | |
| Eni | 123.59 | 0.000 | 11.11 | 0.025 | Both | |
| Orange | 74.034 | 0.000 | 8.9619 | 0.062 | BOND | |
| Telefonica | 130.91 | 0.000 | 40.343 | 000 | Both | |
| Sovereign sample (Apr. 2011-Apr. 2014) | Germany | 10.904 | 0.028 | 9.3121 | 0.054 | BOND |
| Italy | 4.9578 | 0.292 | 9.1929 | 0.056 | Unkown | |
| France | 9.7788 | 0.044 | 7.1135 | 0.130 | BOND | |
| Spain | 7.8046 | 0.099 | 1.5023 | 0.826 | Unkwon | |
| Portugal | 18.859 | 0.001 | 34.116 | 0.000 | Both | |
| Belgium | 14.445 | 0.006 | 10.618 | 0.031 | Both | |
| Sovereign sample (May 2014-Sep. 2018) | Germany | 2.324 | 0.676 | 7.131 | 0.129 | Unkown |
| Italy | 35.56 | 0.000 | 33.482 | 0.000 | Both | |
| France | 4.6841 | 0.321 | 7.3933 | 0.117 | Unkwon | |
| Spain | 2.4732 | 0.649 | 16.464 | 0.002 | CDS | |
| Portugal | 18.237 | 0.001 | 13.824 | 0.008 | Both | |
| Belgium | 0.71121 | 0.950 | 12.177 | 0.016 | CDS | |