Highlights • We examine the impact of COVID-19 on stock return and volatility connectedness. • We assess if connectedness measures behave differently for countries with SARS 2003 experience. • Both stock return and volatility connectedness increase across the phases of the COVID-19. • Both connectedness is more pronounced as the severity of the pandemic builds up. • The degree of connectedness is lower in countries with SARS 2003 death experience.