This study examines the interdependence between the daily euro zone sovereign CDS index and four financial market sectors such as, banking CDS market (CDSb), underlying sovereign market (BONDs), stock market (BMI) and future interest rate benchmark of the bunds obligation (EUROBOBL). Focusing on different phases of the sovereign debt crises, the aim of this paper is to examine how the dynamics of correlations between the CDSs and financial market indicators evolved from September 20, 2011 to February 12, 2016. To this end, the A-DCC model allowing for conditional asymmetries in covariance and correlation dynamics has been adopted to examine the presence of asymmetric responses in correlations during periods of negative shocks. The empirical findings indicate a general pattern increase in correlations during the phase of the sovereign debt crisis, suggesting the spillover effect of the CDS index and financial market indicators.