<p>Non-fundamental information, such as pandemic level indicators, might be perceived by investors as signals concerning lockdown extension or draw-out, which might drive investors’ expectations and stock market dynamics. Since investors’ beliefs may be susceptible to pandemic news, it may influence them to adjust their portfolios. literature on stock market reaction to news. This study complete the hurried literature on stock market reaction to news. Specifically, this study investigates the relationship between news concerning the pandemic level of COVID-19 and stock price volatility for seven countries where the largest clusters have occurred. We use increase rates of the number of new patients and deaths as pandemic level measures. We decompose the realized volatility into its continuous and jump components and control for asymmetric market reaction. More specifically, we distinguish between intraday good and bad volatilities. Our analysis reveals four main findings. First, we show a positive relationship between the pandemic level and realized volatility. Second, we find that pandemic news impacts the jump component significantly and the continuous component moderately. Third, we show that an increased pandemic level generates negative jumps, leading to an increase in bad volatility; however, decreased pandemic levels do not impact the positive semi-variance and positive jumps. Fourth, we highlight that the health news related to COVID-19 improves the predictive power of volatility forecasting.</p>