  We present the results of a search for continuous gravitational wave signals
(CGWs) in the second data release (DR2) of the European Pulsar Timing Array
(EPTA) collaboration. The most significant candidate event from this search has
a gravitational wave frequency of 4-5 nHz. Such a signal could be generated by
a supermassive black hole binary (SMBHB) in the local Universe. We present the
results of a follow-up analysis of this candidate using both Bayesian and
frequentist methods. The Bayesian analysis gives a Bayes factor of 4 in favor
of the presence of the CGW over a common uncorrelated noise process, while the
frequentist analysis estimates the p-value of the candidate to be 1%, also
assuming the presence of common uncorrelated red noise. However, comparing a
model that includes both a CGW and a gravitational wave background (GWB) to a
GWB only, the Bayes factor in favour of the CGW model is only 0.7. Therefore,
we cannot conclusively determine the origin of the observed feature, but we
cannot rule it out as a CGW source. We present results of simulations that
demonstrate that data containing a weak gravitational wave background can be
misinterpreted as data including a CGW and vice versa, providing two plausible
explanations of the EPTA DR2 data. Further investigations combining data from
all PTA collaborations will be needed to reveal the true origin of this
feature.
