With this study, we aimed to determine (1) the effect of the daily new cases and deaths due to the COVID-19 pandemic in the United States on the CBOE volatility index (VIX index) and (2) the effect of the VIX index on the major stock markets during the early stage of the pandemic period. To do this, we collected and analysed the daily new cases and death numbers during the COVID-19 pandemic period in the United States and the country indexes of the USA (DJI), Germany (DAX), France (CAC40), England (FTSE100), Italy (MIB), China (SSEC) and Japan (Nikkei225) to determine the impact of the VIX index on the major stock markets. We then subjected this data to the Johansen co-integration test and the fully modified least-squares (FMOLS) method. The results indicated that there was co-integration between the VIX and the COVID-19 pandemic and that there was co-integration between the VIX index and major indexes, except for the CAC 40 and MIB. Moreover, the results showed that the new COVID-19 cases in the USA had a higher impact on the VIX than cases of deaths during the same period.