The Middle East Stock exchanges are becoming attractive due to the unprecedented decrease of information costs. Employing Vector Auto Regression (VAR) and Bayesian VAR models to trace the dynamic co movements among the stock indices for the emerging Middle East and the major index of the United States market. The Middle East countries included are: Egypt, Israel, Jordan, Lebanon, Morocco, Oman, and Turkey. Monte Carlo simulations trace the effects of transmission of innovations from one market to other. The dynamic linkages among these stock markets are relatively small, suggesting benefits to investors who would like to improve on their portfolio.