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A new type of coronavirus disease (COVID-19), known as SARS-CoV-2 is not only an unprecedented health crisis but it is also expected to become one of the most costly pandemics affecting the global economy in recent history. Recent studies (Apergis and Apergis (2020), Baig vd. (2021), Rai ve Garg (2021), Mazur ve Vega (2021)) show that the contagious effect of the COVID-19 outbreak increases the volatility of financial markets. This paper aims to examine the impact of the COVID-19 outbreak on the volatility of S&P 500 stock market returns using daily data over the period from January 21, 2020 to April 09, 2021. To this end, the volatility of stock returns is analyzed by using a GARCH-X model. The GARCH-X model allows us to include COVID-19 factor as an exogenous variable in the mean and conditional variance equations. The findings indicate that daily reported COVID-19 cases in the USA have statistically insignificant effect on stock returns in short-term. However, as the results indicate, the COVID-19 outbreak has a positive and statistically significant impact on the volatility of these stock returns. [ABSTRACT FROM AUTHOR]