Abstract In this paper, we investigate the relationship between the indicators for COVID-19 monitoring and the dynamic of jumps across six major financial markets including China, France, Italy, Germany, the UK, and the US. First, this paper finds that jumps occurred more frequently in the index returns during the COVID-19 pandemic. Second, the empirical findings suggest that the anxiety stemming from potential future control measures, which were prompted by updates in COVID-19 briefings, plays a significant role in explaining the jumps in index returns within financial markets. The strategies of ‘zero tolerance for COVID-19’, ‘maximum healthcare capacity’, and ‘less tolerance for restriction’ were carried out by China, European countries, and the US respectively. These diverse approaches to managing COVID-19 have a significant and varied impact on the market’s sudden price movements.