COVID-19 has been rapidly spread worldwide since March 2020 and has caused uncertainty in many sectors, including stock market. Aligned with the previous studies, Government responses toward the crisis are matter in offsetting the effects of the pandemic. Henceforth, we examine the relationship of Stock market return with lockdown policies amidst the pandemic. In specific, this study analyses COVID-19 Government Response Stringency Index, as the primary drivers of stock market movements, and add other country-level indicators as control variables. We focus on emerging stock market countries since it has been a number one alternative for global investors diversified their portfolios. Moreover, there is still lack of extend research on how Government’s role affects the stock market return in selected countries during the 1-year of COVID-19 pandemic. In total, there are 26 emerging stock markets’ monthly return within a period from March 2020 to February 2021, employed in this research. It is believed that the Index has a positive significant relationship with the stock markets’ return.