ABSTRACT In this paper, we examine how the COVID-19 outbreak influenced the co-movement of the three largest economies (based on purchasing power parity) in the world; US, China, and India. It is important to understand the relationship among the financial markets of these economies, as collectively they represent Int$56,269 billion of economic power and hence create valuable investment opportunities for international investors. We focus on the time period around the start of the pandemic and compare the pre-pandemic co-movement with that during the pandemic. Our results show that the pandemic increased the volatility in the world stock markets, particularly in the emerging markets of India and China. Past volatility of these markets also continues to be a significant determinant of future volatility during the pandemic. Although our correlation analysis show that these markets continue to be connected during the pandemic, further analysis reveals that the long-run association among the stock markets that existed before the pandemic disappeared. The causality among the markets also weakened during the pandemic. Overall, these results show that COVID-19 disrupted the interrelationships of world markets, resulting in more diversification opportunities for international investors. Keywords Stock market co-movement, GARCH models, COVID-19 impact, volatility, Indian stock market, Chinese stock market, US stock market.