Freedom and stock market performance during Covid-19 outbreak

•The number of Covid-19 pandemic cases per million has significant negative effects on global financial markets.•The adverse effects of the coronavirus on the stock markets are less in freer countries. In other words, the stock markets of less-free countries are affected more by the same size of increase in the number of coronavirus cases.•For every increase in the growth of number of Covid-19 cases per million, the stock market returns in freer countries are associated with less return decreases.•Even though the growth of the number of Covid-19 cases per million increases the volatility in less-free countries, its effect on freer countries is not statistically different from zero.