The article investigates how European government bond markets were affected by financial crises. By looking at extreme returns in different countries on the same day, the researchers measured contagion. They found that interest rates, stock market returns, and market volatility played a role in contagion, with past contagion increasing the likelihood of future episodes. During the sovereign debt crisis, there was evidence of contagion from older European Union members to newer members. Interestingly, the behavior of newer members differed the most in the analysis.