Research Question: This research aims to investigate the effects of lockdown, economic stimulus packages and national recovery plan announcements during the COVID-19 pandemic on the Malaysian stock market. Motivation: This study will provide insight on how the efforts made by the Malaysian government to battle the pandemic through different types of announcements will affect the Malaysian stock market across different industries. Idea: This study posits that all events i.e., lockdown, economic stimulus packages and recovery plan announcements will significantly influence the behaviour of the Malaysian stock market. Data: A sample of 13 sectorial indexes are selected. The sample period taken for the study is from January 2, 2019 to October 29, 2021. Method/Tools: The study employs an event study methodology. Cumulative abnormal return (CAR) is used to calculate the total of all abnormal returns surrounding the announcements. The event window employed in this study is 10 days i.e. five days before (-5 to -1) and five days after (+1 to +5) the announcements. When there is an overlapping event, a shorter event window such as one/two days before and one/two days after the announcement will be examined for robustness testing. Findings: The results of the study show that the impact of all announcements varies across different time periods. For example, the first three Movement Control Order (MCO) 1.0, 2.0 and 3.0 announcements have significantly affected the indexes negatively, while the Total Lockdown (TL) announcement at a later period lead to a positive impact. Contributions: Findings of this study have important implications for policymakers and investors. Handling and managing the stock market during the pandemic requires a sensible strategy, in which officials should quickly notify the public of their intended plan without causing panic or any feeling of insecurity. For investors, these results are useful for them to manage their investment portfolio and risk.