This study investigates the impact of COVID-19 on the stock markets of ASEAN-5 (Indonesia, Malaysia, the Philippines, Thailand, and Vietnam). The results suggest the global COVID-19 development has more impact on the ASEAN-5 stock market daily returns than that of the local COVID-19 situation during the period from January to September 2020. However, in general, the global COVID-19 development does not increase the volatility of ASEAN-5 stock markets. In a longer sample from January 2005 to September 2020, the impact of the COVID-19 on the ASEAN-5 stock market returns is more significant than that of the Global Financial Crisis and Taper Tantrum. The results also confirm the local monetary policy could help in reducing the stock market volatility during the pandemic, while the exchange rate policy could mitigate adverse impacts on the stock markets.