It is a commonsense that there is a correlation between the stock market prices of the same group of countries, like GCC countries, and global financial indicators, like oil prices. Moreover, the correlation in these factors enables us to predict the trends of the country specific market prices. However, the existing factors and their importance on the predictability are dynamic. As a result, existing factors may lose importance, gain more importance, and new factors may come into the play. As a big gamechanger of world economy, the Covid-19 pandemic has affected many businesses, including stock markets and stock prices, in various ways in every part of the world. The motivation of this study is to understand the effect of Covid-19 on the predictability of the stock markets, taking Bahrain Stock Market as the exemplar. We compare the prediction power of select GCC stock markets prices and some global indicators on Bahrain Stock Market before and after Covid-19 outbreak. We also addressed the correlation coefficients between Bahrain Stock Market’s close price and other variables. The findings illustrate that the correlation of China on Bahrain Stock Market is decreased after Covid-19, whereas the correlation of others increased significantly. Moreover, the results of the classification models which are Naïve Bayes, Decision Tree and Random Forest agree with the correlation and regression results, confirming that the Bahrain Stock Market is more tied with the GCC markets and Oil prices after Covid-19.