Understanding the impact of external shocks on stock markets returns and volatility is crucial for market participants as volatility is synonymous with risk. The focus of this paper is to determine whether the US monetary policy decisions influence the stock market returns and volatility in Egypt, Israel, and Turkey. Efficient markets react to new information; hence a greater response would be expected in terms of trading activity if there is an unanticipated element to any information revealed. Thus, the paper decomposes the monetary policy shocks into both expected and surprise components and test their influence on the MENA stock markets. Adopting a multivariate GARCH technique, the results suggest a significant effect of the US monetary shocks on Cairo Stock Exchange but not Tel-Aviv and Istanbul stock exchanges. Moreover, the effect of the anticipated monetary policy actions on expected returns account for the largest part of the response of the stock prices.