This study aims to investigate the effects of the COVID-19 pandemic on the volatility of market returns for the Ho Chi Minh City Stock Exchange (HOSE) over the period from January, 22nd 2020 to December, 31st 2021. Using the  Autoregressive Distributed Lag (ARDL) bounds test approach, the empirical results reveal both short-term and long-term effects of COVID-19 cumulative cases on the volatility of market returns. Specifically, in the short-term, the daily cumulative cases of COVID-19 have a significant negative effect on market returns volatility. However, in the long-term, the empirical findings show a positive relationship between the total number of COVID-19 patients and the market returns volatility.