European holding cold ball (5)
I believe the answer is:
dance
'ball' is the definition.
(ball can mean an event for dancing)
'european holding cold' is the wordplay.
'european' becomes 'Dane' (someone from Denmark).
'holding' is an insertion indicator.
'cold' becomes 'C' (eg on taps).
'dane' placed around 'c' is 'DANCE'.
(Other definitions for dance that I've seen before include "Trip the light fantastic" , "Ball; hop" , "Perhaps reel" , "spin?" , "Waltz maybe" .)