A high-frequency analysis of return and volatility spillovers in the European sovereign bond market

Using high-frequency data from the MTS trading platform, we examine return and volatility spillover effects across different maturities in European sovereign bond market over tranquil crisis periods. The longer-term benchmark securities of core countries are largest net transmitters, whereas shorter-term benchmarks periphery leading receivers shocks. Moreover, short-end long-end yield curve both regions emerge as sole recipients spillovers. We note that bonds become transmitters during important macroeconomic events such credit rating downgrades financial assistance packages to financially distressed countries.