Among the various market risks, illiquidity is a critical risk affecting the sovereign debt markets. It causes bonds to trade at yields higher than benchmark bonds, thereby contributing to the credit risk, which usually suffocates the debt market. This study investigates the liquidity risk across the term structure in emerging Asian sovereign bond markets. It is inferred that the term structure of illiquidity is upward sloping since liquidity risk increases along with the term to maturity. The pricing implications of nine bond classes, ranging from 3-month to 10-year bonds across six emerging Asian markets, were examined using the Panel data Fixed Effect model. The study on liquidity risk revealed that the price impact dimension is vital for short term investments. The trading cost and trading frequency dimensions are priced in the medium term and long term bonds. The liquidity risk spillover was found from long term bonds to medium and from there to short term bonds. On a parallel line, spillover is observed from off the run bonds to on the run bonds. The economic inference of the findings is that the illiquidity spills from bonds possessing higher liquidity risk to bonds with lesser liquidity risk attributes. It was found that the shocks from the macro-economy enter the bond market by means of 10-year bonds and exhibit a rippling effect of illiquidity spillover. The much-debated on the run phenomenon is found to exist, but a higher intensity prevails in the longer maturity bonds representing the flight to liquidity behavior during an economic downturn. This finding implies the need for a higher representation of short term bonds in the auction framework to enhance the overall market liquidity.