•We investigate the impact of economic uncertainty due to the coronavirus (COVID-19) pandemic on the industrial economy in the US.•We apply wavelet coherence analysis to economic policy uncertainty (EPU) data and monthly sector volatility of the S&P 500 index.•Our analysis indicates that COVID-19 has had a substantial impact on all sectors of the US stock market.•The influence of the pandemic on the industrial economy is larger than that of the global financial crisis (GFC) for all sectors. This study investigates the impact of economic uncertainty due to the coronavirus (COVID-19) pandemic on the industrial economy in the US in terms of the interdependence and causality relationship. We apply wavelet coherence analysis to economic policy uncertainty (EPU) data and monthly sector volatility of the S&P 500 index from January 2008 to May 2020. The results reveal that EPU in terms of COVID-19 has influenced the sector volatility more than the global financial crisis (GFC) for all sectors. Furthermore, EPU leads the volatility of all sectors during COVID-19 pandemic, while some sector’s volatilities lead EPU during the GFC.