This study investigates the impact of the Middle East conflict on dynamic relationships and volatility transmission mechanisms among three prominent global equity benchmarks: the Dow Jones Industrial Average (DJIA), the Nasdaq 100, and the S&P 500. Against a backdrop of heightened geopolitical risk, supply chain disruptions, and global macroeconomic uncertainty, this research examines the interactions between these indices, specifically contrasting their short-term dynamics with their long-term behavior. Utilizing a high-frequency dataset comprising 366 daily observations from January 2, 2025, to June 18, 2026, we employ a rigorous econometric framework (Asteriou & Hall, 2015; Brooks, 2019). The methodology encompasses descriptive statistics, the Augmented Dickey-Fuller (ADF) unit root test (Dickey & Fuller, 1979; Said & Dickey, 1984), Ordinary Least Squares (OLS) multiple regression, Johansen cointegration analysis, Pairwise Granger causality testing, and an unrestricted Vector Autoregressive (VAR) model (Sims, 1980). Our empirical findings reveal a distinct dichotomy between short- and long-run market responses to the conflict, thereby contributing to the broader literature on the impact of geopolitical shocks on equity markets (Chen, 2007; Nandha & Faff, 2008). First, the Johansen trace and maximum eigenvalue tests demonstrate an absolute absence of cointegration among the indices (Johansen & Juselius, 1990; Teodorian & Shkurti, 2014). This indicates that despite the shared external shock, the indices do not exhibit a permanent, long-term equilibrium relationship, allowing their trajectories to diverge over extended horizons. Conversely, in the short term, the geopolitical crisis has intensified market interconnectedness and spillovers (Bodart & Reding, 1999). Although estimating the model in levels yields a spurious regression characterized by severe serial correlation (Granger & Newbold, 1974), the OLS regression in first differences establishes a highly robust linkage. Specifically, daily innovations in the S&P 500 and Nasdaq 100 account for over 89% of the daily return volatility in the Dow Jones (Hammoudeh et al., 2009). Furthermore, Granger causality tests identify highly active channels of short-term shock transmission (Granger, 1969); both the technology-heavy Nasdaq 100 and the broad S&P 500 drive price discovery in the Dow Jones, while a bi-directional causal relationship is documented between the Dow Jones and the S&P 500 (Malkiel, 2003). For portfolio managers and risk analysts, these results demonstrate that while the absence of long-term cointegration preserves opportunities for strategic asset allocation (Choudhry, 1997), the intense, conflict-induced short-term connectedness necessitates dynamic, real-time hedging strategies to mitigate systemic risk (Tsai, 2015).