This study examines the return and volatility spillover effects from Chinese financial markets to Pakistan, India and Sri Lanka financial markets before and after the COVID-19 outbreak. The sample used in this study is from July 2012 to June 2021. The methodology used for data analysis is by applying the econometric models of ARMA(1,1) and GARCH-M(1,1). COVID-19 is used as a dummy variable to check the impact of the pandemic on the mean and volatility of Chinese markets and the spillover from China to Pakistan, India and Sri Lanka during the sample period. The daily closing indices of the stock exchanges of China, Pakistan, India and Sri Lanka are used for data collection. The results show that there is an impact of COVID-19 on the return and volatility of Chinese markets and the volatility spillover from China to South Asian countries including Pakistan, India and Sri Lanka financial markets. The statistics show that the volatility coefficient is positively significant for Pakistan and India but negatively significant for Sri Lanka. This indicates that with the increase in volatility in China financial markets, the increase in volatility of Pakistan and India financial markets are observed. In a conclusion, the COVID-19 has an impact on the return and volatility of Chinese financial markets and a spillover effect from Chinese markets to the south Asian financial markets during the sample period. The Government and policy makers should announce economic packages and monetary aids for general public and industries, which will help running the economic activities during the pandemic in a country. Supervisor:- Dr. Ahmad Fraz