The outbreak of the COVID 19 virus, as a major exogenous shock, generated substantial volatility in the Tehran Stock Exchange. This study aims to examine the impact of the COVID 19 pandemic on stock price volatility in three selected sectors—basic metals, chemical industries, and pharmaceutical companies—over the period from February 2020 to March 2023. For this purpose, the GARCH model was first employed to estimate the volatility of the price indices for each sector. Subsequently, using the quantile regression approach, the effects of daily COVID 19 cases, exchange rate volatility, trading volume, and a market bubble dummy variable on volatility were analyzed across different quantiles. The results indicate that an increase in the number of infected cases significantly intensified stock price volatility in the basic metals and chemical sectors, while this effect was weaker and limited to certain quantiles in the pharmaceutical sector. Moreover, exchange rate volatility (particularly in higher quantiles), trading volume under unstable conditions, and the market bubble variable exhibited a positive and significant relationship with heightened price volatility across all three sectors. These findings suggest that the stock market’s response to public health crises depends on industrial structure and macroeconomic conditions. Policymakers and investors may utilize these insights to better understand volatility dynamics and to make informed decisions when facing similar crises.