The COVID-19 epidemic, which has turned into a global pandemic, has affected the whole world. In addition to the effects of the epidemic threatening human health, it has been observed that the economic effects are also severe. The epidemic has turned into a "sudden stop" crisis, affecting all areas of the economy. Therefore, the economic impact of the epidemic on financial markets needs to be determined. Studies to be carried out especially on the effects on the sectors can be a guide for the measures to be taken against similar crises that may arise in the future. In this context, the direction and degree of the relationship between COVID-19 and sector returns should be investigated. While the study examines the direction and severity of the relationship between COVID-19 and selected sector returns, it adds some financial variables to the data set. Thus, the emergence of false relationships between the epidemic and sector returns are prevented, the direction and degree of the relationship between the epidemic and some other financial variables are also determined. These financial variables are selected as CDS premium, VIX index, gold and oil prices. Autoregressive Distributed Lag Model (ARDL) bounds testing was used to determine the direction of the relationship between variables. Thus, the direction of the relationship among the COVID-19 epidemic and sector returns and some financial variables has been identified with evidence from Turkey. It is thought that the study will contribute to the literature in determining the sectoral effects of sudden stop crises.