Datasets for the following article: Does the CDS market lead the stock market during crises? Evidence from the US, the EU, and the UK

The files contain lists of companies, CDS log returns, stock log returns, and explanatory variables for the US, the EU, and the UK companies: - TED spread for USD; - Maturity spread, i.e. 10-year treasury constant maturity minus 2-year treasury constant maturity (T10Y2Y); - Expected inflation, i.e. 5-year forward inflation expectation rate (T5YIFR); - VIX (volatility index); - USD/EUR exchange rate; - EUR/GBP exchange rate; - GBP/USD exchange rate; - WTI price; - Brent price; - Gold price; - The spread of 10-year bond yields of Italy and Germany; - Three-month LIBOR for USD; - Three-month LIBOR for EUR; - Three-month LIBOR for GBP. OrgID is an identifier for a company in Refinitiv Eikon. RIC is an identifier for a specific CDS spread used in the article.