We examine the link between financial stress and three sources of commodity fluctuations in MENA countries, namely: (i) oil demand shocks; (ii) oil supply shocks; and (iii) (financial) risk shocks. To do so, we use a novel quantile coherency approach and daily data for 11 MENA countries, thus, improving upon the existing studies that typically rely on single-frequency and time-frequency dependence. As a result, we are able to capture both varied market conditions and different investment horizons. We find that financial stress is particularly acute during extreme oil demand and oil supply shocks, especially at longer horizons and for oil rich/exporting countries. By contrast, (financial) risk shocks appear to be more prominent in generating financial stress at relatively shorter horizons, regardless of the quantiles of the distribution, and for economies with deep and globally integrated financial markets. This empirical evidence can have strong implications for policymakers in the region, as well as portfolio managers.