<p>Several episodes in recent history, most notably the global financial crisis, highlight the importance of interdependence across institutions and markets, while current events, such as geopolitical tensions and economic uncertainty, reinforce the relevance of consolidating existing knowledge on contagion. The surveyed literature indicates that early studies relying on simple correlation measures were later challenged by more robust methods, revealing that what appeared as contagion was often driven by heightened market volatility. Current evidence suggests that contagion was limited, while fragmentation and interdependence were central features during the global financial crisis and the following sovereign debt crisis. Beyond consolidating existing findings, this paper reconciles three strands of the literature addressing contagion versus interdependence, financial fragmentation and the sovereign–bank nexus, while embedding empirical evidence from the profound post-crisis monetary, regulatory and institutional reforms. Using a transparent bibliometric approach combined with qualitative cluster interpretation, the paper highlights how methodological choices shape conclusions on contagion and identifies implications for regulatory design and remaining financial vulnerabilities.</p>