We investigate information shares in the price discovery process in the euroarea sovereign bond market across the yield curve, during both calm and crisis periods. We employ a rich high-frequency dataset from the MTS platform. We find that price discovery is enhanced, on average, especially for...

Contagion is an elusive concept and several definitions have been used in the literature. According to Forbes and Rigobon (2002) contagion is defined as a significant increase in cross-market linkages after a shock to one country. In this paper we provide a selective literature review on...