Contagion in CDS, banking and equity markets

•We develop an endogenous testing strategy for finding contagion.•We analyze a large number of stock markets, CDS and banking indices.•Contagion has been pervasive in the Global Financial Crisis and also in the European Sovereign Debt Crisis.•These tests might be an additional tool for regulators and policy makers.

We develop a strategy for testing endogenously contagion within banking sector, stock market indices and Credit Default Swap Spreads. We present evidence of strong contagion in several cases and markets. Contagion seems to be widespread during the Global Financial Crisis and the recent European Sovereign Debt Crisis. Our results are important for a better understanding of contagion and the development of macroprudential tools for financial stability surveillance.