The COVID-19 pandemic has had a particular impact on all financial markets in the world, and stock index prices are falling significantly and continuously. The impact of the pandemic is analyzed through stock exchange indices, ie CROBEX in Croatia, and the DJIA index in the USA, SSE Composite in China and DAX in Germany. The aim of this paper is to show how the Croatian capital market, as well as selected world capital markets, react to the emerging corona crisis. Therefore, this research uses data on the movement of stock exchange indices. Based on the collected data from Croatian and world statistical databases, the movement of stock exchange indices is shown graphically in order to obtain a clearer insight. The results indicate an increase in the turnover of these indices in 2020. But there is a decline in market capitalization on stock exchanges and a decline in index prices. Due to the pandemic, the European stock exchanges reacted the fastest to the new situation, followed by the American and Shanghai stock exchanges. However, the Shanghai Stock Exchange in China recovered first. Indices in 2020 recorded the largest decline in value, but at the end of the year there is a positive trend that continues early next year.