Glove companies are thriving despite the challenges most sectors have encountered during the COVID-19 pandemic. Hence, this study investigated the impact of the pandemic on individual glove stock volatility via the Exponential GARCH (EGARCH) model. The empirical results demonstrated that the number of COVID-19 positive cases reported daily negatively influences the volatility of glove companies. In addition, the presence of a leverage effect was found in the volatility of Top Glove Corporation. The empirical results improve understanding of the dynamics of glove companies during an unprecedented event, which would benefit individual and institutional investors. Furthermore, the result will aid investors in mitigating risks, formulating trading strategies, and managing investment portfolios during a pandemic.