This study examines the interdependence between the daily eurozone sovereign credit default swaps (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 article is to examine how the dynamics of correlations between the CDSs and financial market indicators evolved from 20 September 2011 to 12 February 2016. To this end, we adopt a dynamic conditional correlation (DCC) model into a multivariate fractionally integrated generalized ARCH (FIGARCH) framework, which accounts for long memory and time-varying correlations. The empirical findings indicate a general pattern of decrease and increase in correlations during the phases of the sovereign debt crisis, suggesting the spillover effect and different vulnerability of the CDS index and financial market indicators.