Abstract
This work evaluates the behaviour of stock markets of US, UK and China in response to the financial crisis caused by Covid-19 virus between 2020 and 2023. Using the basic GARCH, EGARCH and TGARCH models, this study provides robust and extensive empirical evidence on volatility clustering, persistence and asymmetries in the investigated countries. Across the three markets, the existence of volatility persistence and leverage effects were established from the asymmetric estimates. Further it investigated the impact of Covid-19 cases and fatality on the volatility of the studied markets using Autoregressive Distributed Model (ARDL) and discovered that they have positive significant influence on the US and UK stock market returns respectively. China revealed non-significant effect. Our research recommend is that national health authorities, particularly in less developed countries should deepen their health institutions for robust, proactive and timely execution of emergencies to mitigate losses in event of similar occurrences in the future.