This study evaluates the impact of COVID-19 on equity markets in Bangladesh, with a focus on the Dhaka Stock Exchange (DSE). Specifically, the study assesses the extent to which the pandemic has affected the risk-return profiles of individual stocks and sectoral risk-return profiles. The authors make use of data from 106 listed companies in the pharmaceutical, engineering, and insurance sectors, covering a period from March 19, 2019, to March 11, 2021, including a lockdown period from March 26, 2020, to May 30, 2020. Using the Chow breakpoint test, the authors find systematic differences between the two-time periods under investigation, suggesting that the pandemic has significantly impacted the risk-return profiles of individual stocks and sectoral risk-return profiles. The authors note that this study represents one of the first empirical investigations into the impact of the COVID-19 pandemic on frontier stock markets.