The paper examines the unprecedented impact of the COVID-19 pandemic on the U.S. stock market, comparing it to previous infectious disease outbreaks. Using text-based methods, the authors find that no previous pandemic, including the Spanish Flu, has caused such significant market volatility as the COVID-19 pandemic. The study attributes this reaction to government restrictions on commercial activity and voluntary social distancing, which are more stringent, broader, and longer-lasting than those implemented during previous pandemics. The paper also evaluates potential explanations for the market reaction, ruling out those that stress the lethality of the virus or disruptions to international supply chains. Instead, it highlights the powerful effects of mandatory business closures and social distancing measures in a service-oriented economy. The authors conclude by reflecting on the economic damage caused by these broad restrictions and the need for less sweeping containment policies.The paper examines the unprecedented impact of the COVID-19 pandemic on the U.S. stock market, comparing it to previous infectious disease outbreaks. Using text-based methods, the authors find that no previous pandemic, including the Spanish Flu, has caused such significant market volatility as the COVID-19 pandemic. The study attributes this reaction to government restrictions on commercial activity and voluntary social distancing, which are more stringent, broader, and longer-lasting than those implemented during previous pandemics. The paper also evaluates potential explanations for the market reaction, ruling out those that stress the lethality of the virus or disruptions to international supply chains. Instead, it highlights the powerful effects of mandatory business closures and social distancing measures in a service-oriented economy. The authors conclude by reflecting on the economic damage caused by these broad restrictions and the need for less sweeping containment policies.