This study investigates whether contagion occurred during the global financial crisis among EU and US financial markets. The methodology used to test for contagion is the Forbes and Rigobon cross-correlation test, the Li and Zhu non-parametric test, the Fry et al. coskewness test and the Hsiao cokurtosis and covolatility tests. These tests are applied to a set of bank sector CDS, insurance sector CDS, sovereign bond, equity and volatility indices for the time period from 2004 to 2012. The findings indicate significant evidence of contagion especially through the channels of higher order moments.