We investigate information shares in the price discovery process in the euro-area 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 periphery countries during the European sovereign debt crisis however, increases in information shares are not uniform across the yield curve. We further show that no particular market leads the price formation process across all maturity segments. We find a clear improvement in market quality for core countries (Germany and the Netherlands) but mixed results for periphery countries (Italy and Spain) in the crisis period.

在平静期和危机期，我们都会通过收益率曲线调查欧元区主权债券市场价格发现过程中的信息共享。我们采用了来自MTS平台的丰富的高频数据集。我们发现，平均而言，价格发现得到了增强，尤其是在欧洲主权债务危机期间对于外围国家而言，但是，收益率曲线上信息份额的增长并不一致。我们进一步表明，没有一个特定的市场在所有成熟度细分市场中引领价格形成过程。我们发现核心国家（德国和荷兰）的市场质量有了明显改善，但在危机时期，外围国家（意大利和西班牙）的结果则好坏参半。