Objectives:
The Covid-19 coronavirus pandemic created many doubts and unknowns in all areas of the activity of enterprises, not only for those smaller and more turbulent-prone entities but also for seemingly stronger players on the market. The fundamental question is what is the economic impact of the Covid-19 pandemic on these companies. In this work, we analyze the relationship between the impact of the coronavirus Covid-19 pandemic and the returns of the stock prices of selected companies, mainly those included in the Warsaw Stock Exchange WIG 20 Index.

Material and methods:
We use two classical models of the evolution of stock prices - the geometric Brownian motion model and the jump-diffusion model, proposed by Merton. We estimate these models for two periods – the pre-pandemic period and a period that encompasses also the time of the Covid-19 pandemic. We compare the impact on the returns with the impact of the pandemic on enterprises from different sectors reported in the literature.

Results:
The results of the conducted research show that returns of companies operating in the financial sectors (banking and insurance) and fuel companies have changed the most. In the case of companies from the IT sectors as well as the food industry, most of the returns in 2020 were not far from the returns in 2019, but from time to time also here the market was characterized by greater fluctuations.

Conclusions:
For most of the analyzed sectors, a better fitting model is the geometric Brownian motion model. In the case of companies from the food sector, the Merton model gives a better or comparable geometric Brownian motion model fit. The empirical research conducted on the example of companies listed on the Warsaw Stock Exchange confirms the validity of the theses contained in the literature