<p>European electricity markets are undergoing a profound transformation, driven by the accelerating deployment of renewable energy and heightened geopolitical tensions—most notably Russia’s invasion of Ukraine. This paper leverages high-frequency wholesale electricity price data to examine volatility spillovers across 24 European Union (EU) countries over the period 2014 to 2024, offering new insights into the cross-border transmission of market volatility. We conduct both static and dynamic analyses of spillover effects, including directional decomposition, to capture the evolving nature of inter-market linkages. Our central finding is that approximately 73% of forecast error variance is explained by cross-country variance shares, indicating that only 27% is attributable to domestic shocks. This highlights the dominant role of cross-border volatility spillovers in shaping national electricity market behavior—a pattern that has intensified over time. To further investigate these dynamics, we implement an augmented gravity model to assess the determinants of bilateral spillovers across EU power markets. The results underscore the importance of geographic proximity and renewable energy penetration in amplifying volatility transmission. These findings carry important implications for policymakers and regulators. They underscore the urgent need for deeper market integration, enhanced cross-border infrastructure, and coordinated regulatory frameworks. Such measures are essential not only for managing volatility but also for supporting the transition to low-carbon energy systems and strengthening Europe’s energy security.</p>