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The COVID-19 pandemic severely disrupted global capital markets and has continued to influence energy index returns since the beginning of 2020. Throughout this time, several key events relating to the pandemic have been observed to increase volatility, whilst others, in contrast, result in the opposite occurring. This study investigates the short-term volatility of these key events on global energy index returns. The data from six major energy indices were used to establish a global geographic perspective of energy market returns, specifically that of Asia Pacific, Australia, New Zealand, Europe, and the United States, including two commodities of WTI Crude Oil and Natural Gas to understand the effects of COVID-19 on energy returns. We employ “Event Study” by using a 10-day window period surrounding the dates of key events to measure volatility within returns. The findings of this study document that movement control orders increased volatility in energy market returns, whilst economic stability and vaccine availability tend to decrease volatility. The findings are crucial for investors, business owners, and government stakeholders to develop effective pandemic response plans whilst also providing insights on volatility expectations for investors to improve sentiment and confidence in navigating the stock markets under unpredictable conditions.