Through a comparison of Small and Medium Enterprises (SMEs) and listed firms on the Egyptian stock exchange, this research seeks to determine the effects of COVID-19 on the firm value (FV) for SMEs and the EGX 30 index through the period January 12, 2020, to December 31, 2021. We used a Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model to estimate the volatility of the stock returns. Empirical results find that the EGX30 index began to show relative stability by the end of 2020, while the TAMAYUZ index for medium and small enterprises is high volatility. Our findings demonstrate the differing effects of government activities during the epidemic on the two indicators (EGX 30 and TAMAYUZ).