We develop a novel cross-market functioning index (CMFI), which tracks the sources of market dysfunctions across market segments (bond, equity, money, and foreign exchange markets) and functionalities (intermediation, arbitrage, and liquidity). The index relies on 12 original market functioning variables for the Euro-Area and closely follows the methodology used for Financial Conditions Indices (FCIs). However, due to the focus on different variables and concepts, we show that CMFI is only moderately correlated with existing indices and demonstrate its ability to function as a leading indicator. Through a VAR framework, we illustrate the usefulness of our index, analyzing how market dysfunction affects different steps of the monetary policy transmission, after controlling for more standard financial conditions and market stress indices.