Effective Market Discipline (MD) puzzles financial economists for decades, while the recent “bail-in” legislation for European banks extremely raises the need for even stronger MD. It may not be exaggeration to say that a new regime for the European banking market is born after the aforementioned decision. This paper’s scope is the broader MD examination, using variables which concern the European Union (EU) the last few years and are not usually included in such studies. In particular, apart from banking, deposit insurance and pure macroeconomic indicators, we also include governance and sovereign debt indices. Besides, the new regime may need a new MD approach. We choose Greece to implement this assumption, because it is the country with the most severe economic, sovereign and governance problems in the EU. We employ data for the period 2002-10. The empirical evidence supports that market discipline is superficial, while there is ample evidence that MD is directly influenced by the poor governance performance and the excessive government debt. Greek authorities have to make major structural reforms in order to create the conditions for long-term stability, while our analysis points out some EU’s shortfalls.