We examine credit risk price discovery between the U.S. equity and credit default swap (CDS) markets for 174 firms between 2005 and 2009. Using Gonzalo–Granger [Gonzalo, J., & Granger, C. (1995). Journal of Business and Economic Statistics, 13, 27–35] and Hasbrouck [Hasbrouck, J. (1995). Journal of Finance, 50, 1175–1199] measures, we uncover an interesting price discovery transmigration pattern. Before the global financial crisis (GFC), CDS influences price discovery for 92 firms. During the height of the GFC, it increases to 159 firms, despite rising and increasingly volatile CDS spreads. Although the number of firms decrease post-GFC, it remains high compared to the pre-GFC period. The substantially higher and more volatile CDS spreads present informed speculators attractive trading opportunities in the CDS market that were not available before the GFC. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark