Financial market interdependence has been at the epicenter of the crisis in the euro area. This paper studies the existence of contagion during the crisis, defined as a structural break in the degree of financial market interdependence during episodes of financial market mayhem. In order to identify country-specific shocks from global and regional shocks, the authors make use of the historical record of news. The authors find widespread evidence of contagion. Most country-specific shocks are transmitted to other countries beyond the normal channels of interdependence. Even though negative shocks in one country usually have negative repercussions on the other countries, the authors also find cases of flight to safety. Moreover, global shocks and regional shocks exert a strong impact on sovereign bond yields in the euro area during the crisis. Regional shocks sometimes affect countries in different ways, thereby again signalling the presence of flight to safety.