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The paper examines the intraday dynamics and volatility transmission among three European stock markets, namely Germany, France, and United Kingdom during the global financial crisis (2007-2009). After estimating the structural break date using Bai-Perron (1998, 2003), we analyze separately the pre-crisis and crisis period using high frequency 5 minute intraday data under the VAR-EGARCH frame work. The empirical findings reveal that the interdependence among European markets increased substantially during the crisis period pointing towards shift contagion. In addition, considering the role of the German stock market, the results show that it strongly influences stock returns and volatility in France and U.K – for all periods, while the reverse hold true but relatively irrelevant. These findings have important implications for both policymakers and investors.

Interdependency and Spillover During the Financial Crisis of 2007 to 2009 – Evidence from High Frequency Intraday Data