The global health crisis initiated by the COVID-19 pandemic triggered unparalleled economic upheavals. In this comprehensive study of 16 countries categorized by their infection rates, we scrutinize the impact of a range of variables on stock market indices and calculate four critical ratios derived from those variables. Our regression analyses reveal striking differences in how the variables influenced stock indices in countries with low and high infection rates. Notably, in countries with low infection rates, all variables exhibited significant effects on stock returns. An increase in infection numbers and fatalities correlated with greater stock market declines, underscoring the market’s sensitivity to the health and economic risks posed by the pandemic. Recovery and testing rates also displayed positive associations with stock returns, reflecting investor optimism concerning potential recovery scenarios. Conversely, nations grappling with high infection rates experienced notably weaker effects from these variables. Although fatalities had a negative impact on stock indices, other factors, including recoveries, infections, and testing rates, did not result in significant effects. This suggests the likelihood that markets in high-infection countries had likely factored pandemic conditions into their pricing, thereby reducing the immediate impact of these metrics on stock returns. Our findings underscore the intricacies of the COVID-19 pandemic’s impact on stock markets and highlight the importance of tailored strategies and policies for distinct country categories. This study offers valuable insights for policymakers and investors navigating financial markets during global health crises and preparing for future epidemics.