Year 2010 have witnessed a major European Sovereign Debt crisis. By examining the links between sovereign CDS and stock indexes during the period 2007-2010, for eight European countries, this paper aims to study the lead-lag relationships of the two markets using a Vector Autoregressive model and a Panel data model. We find a major leading role of the stock market during the sample period, but when year 2010 is isolated we find a change in this relationship and a key role of the CDS markets incorporating new information. This increasing role of the sovereign CDS is stronger for countries with high risk spread.