The study's contribution is divided in two sections, the first section analyzes the price discovery mechanism, i.e. which market is correcting the basis towards the long run equilibrium. Results shows that CDS market is the most contributing market in the price discovery, i.e. CDS market is reflecting risk first/better than Bond Yields market for the 4 Eurozone countries. Italy and Belgium shows a two-way relationship, with both markets contributing to price discovery, but results show that CDS is contributing more. France and Spain in the other hand shows that CDS market stands for price discovery alone, while cash market adjust accordingly. This is in line with previous authors with similar studies.

The second section which analyze the existence of cross-border spillover from one country basis onto another, i.e. if past change in one country basis is granger causing current change. Since a change in the basis is a change in the CDS-bond basis, which implies a change in the risk structure. The results revealed significant cross-border spillover. But the level of influence varies amongst the countries, but one interesting finding is that Spain and Italy revealed that their own past changes was limited, i.e. the second lag of their own basis failed to explain their current basis. Which suggest that there are non-model factors participating, which is out of the scope of this study, but a valid discussion can be made.