<p>This study primarily uses the Dow Jones Industrial Average (DJIA) as a benchmark for the U.S. stock market and considers January 1, 2020, as the start of the COVID-19 pandemic in analyzing the changes in the U.S. stock market before and during the pandemic. The analysis employs cointegration analysis, the Granger causality test, impulse response functions, and forecast error variance decomposition (FEVD). The findings indicate that during the COVID-19 pandemic, the U.S. Dow Jones Industrial Average maintained a long-run equilibrium through cointegration. The error correction model and impulse response functions demonstrate that variables such as the weekly confirmed COVID-19 cases and deaths in the U.S. had a persistent and increasingly significant long-run impact on the DJIA. Additionally, the forecast error variance decomposition (FEVD) analysis reveals that the explanatory power of the DJIA gradually declined over time, with the explanatory power shifting progressively to the Brent crude oil price, the U.S. dollar index, and the weekly confirmed COVID-19 cases in the U.S.</p>