AbstractThe pandemic caused by the novel coronavirus COVID‐19 has impact the economies of countries across the world. In a short period of time, researchers have begun to analyse the effect of the pandemic on global stock markets. Although the most known measurements of COVID‐19 are the number of new cases and deaths, there are more robust indicators. In particular, the effective reproductive number is one of the most important indicators to analyse the pandemic which indicates the degree to which the spread is under control. In this paper, we assess the impact that the Effective Reproductive Number (Rt) has on 26 countries around the world (32 stock market indexes) comparing the performance of various forms of Generalized AutoRegressive Conditional Heteroskedasticity models. The results demonstrate that of the 32 stock markets analysed, 37.5% had a negative effect with respect to Rt and only in 12.5% of the cases was the effect of the variation of Rt positive. This implies that in more than a third of the stock markets analysed as the pandemic progressed uncontrolled the result was a decrease in the value of the market index. The 11 of the 26 countries analysed had a negative and significant effect (Brazil, Germany, Indonesia, Israel, Italy, Japan, Russia, South Korea, Sweden, Taiwan, and United States). Findings suggest that the Effective Reproductive Number volatility had a significant impact on 10 of the 26 countries analysed (38.5%) (Australia, Brazil, Canada, China, India, Italy, Mexico, Russia, Singapore and United Kingdom).