This study investigates the impact of Covid-19 pandemic on the risk and return of Egyptian banks. It measures bank performance using stock volatility (as a measurement of risk) and stock returns. As well as, it measures Covid-19 using "confirmed new cases", "confirmed new deaths" and "mortality growth rate" on a weekly basis. We use one-year lagged leverage, bank size and return on assets as control variables. The study applies Pooled OLS regression, Pearson correlation and Paired sample t-test in order to statistically investigate the proposed hypotheses. The sample consists of 12 banks listed on the Egyptian Stock Exchange (out of 14), covering two periods of equal length of time, sixteen weeks before and during the Covid-19 pandemic. Our analysis reveals that new cases, new deaths and mortality growth rate of Covid-19 are negatively (positively) related to stock returns (volatility). However, Egyptian banks' stock returns and volatility are more sensitive to new cases and deaths of Covid-19 than mortality growth rate.