The current research explores the impact of the financial contagion event on sectors associated with environmental sustainability, namely power and energy. This study uses time series analysis to analyze the data by performing regression in R-programming. Empirical analysis reveals that COVID-19 significantly and positively influences share price volatility in these two sectors, consistent with prior research on financial contagion effects. The paper’s contribution lies in its unique approach of using COVID-19 cases as a proxy for financial contagion and its comprehensive analysis of long-term volatility and short-term impacts across these sectors. The study highlights the pandemic’s disruptive influence on sectors, emphasizing environmental sustainability and showcasing the need for integrated risk management strategies that consider both short-term and long-term environmental attention. This has implications for regulatory bodies and financial institutions, urging them to incorporate environmental contagion effects into systemic risk assessments and regulatory frameworks.