Market fragmentation is an issue in the EU. There is not one market for bonds but a set of markets that may move together when there is no crisis, but will then diverge when there is a liquidity issue or a macro shock. The ECB may try to align key bond markets, but there are limits to what it can do without favoring one market over others. This problem is nicely described in the short VOX article, Financial fragmentation as a vulnerability in euro area bond markets.
There is evident fragmentation as outlined by the first and second principal components. The extent of Euro area fragmentation can be measured over time. Although it is lower than during most of the post-GFC period, it is clear that during periods of macroeconomic shocks, fragmentation increases, leading to lower liquidity and greater spread dislocation. It will be hard for the Euro area to produce a safe asset across the EU if there is high fragmentation.
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