•The COVID-19 pandemic has significant impacts on global financial markets.•Substantial increases of volatility are found in global markets due to the outbreak.•Global stock markets linkages display clear different patterns before and after the pandemic announcement.•Policy responses may create further uncertainties in the global financial markets. The rapid spread of coronavirus (COVID-19) has dramatic impacts on financial markets all over the world. It has created an unprecedented level of risk, causing investors to suffer significant loses in a very short period of time. This paper aims to map the general patterns of country-specific risks and systemic risks in the global financial markets. It also analyses the potential consequence of policy interventions, such as the US’ decision to implement a zero-percent interest rate and unlimited quantitative easing (QE), and to what extent these policies may introduce further uncertainties into global financial markets.