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This paper examines the dynamic interdependence among Middle East and North Africa (MENA) stock markets, that is lead-lag relationships and volatility transmission mechanism among four emerging MENA stock markets, namely Egypt, Jordan, Morocco and Turkey. The methodological design is a multivariate vector autoregressive exponential GARCH (MVAR-EGARCH) model which is appropriate for examining the nature of the volatility and return spillover mechanism across markets. The empirical findings indicate that there are strong linkages among the MENA markets at the volatility level. In addition, volatility is found to respond asymmetrically to news/innovations, with a strong response in the case of bad news than in the case of good news. These empirical results are particularly important to investors when devising hedging and diversification strategies for their portfolio.