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It is known that the searches for alternative barometer is becoming more widespread for investors to make investment decisions due to the inadequacies of information flow to the credit rating agencies or the negative reflections caused by the issuance of long-term ratings in the world economy. In this context, the use of Credit Default Risks or CDS premiums in short terms as an alternative to credit ratings has become increasingly common. In this study, the relationship between CDS scores and stock market indices, which are the most important reflection of capital mobility, has been studied for the period 2007: M12-2018: M04. As a result of this study, it has been determined that there are long-term relationships between the CDS premiums and the stock market index values in the countries other than USA and UK. On the other hand, it has been determined that the existence of mutual causality relations between CDS premiums and stock market index. It can be argued that companies should avoid negative financial behavior that may raise risk premiums and they will not be able to meet the financial needs of both themselves and the country's economy. [ABSTRACT FROM AUTHOR]