In order to limit the spread and economic effects of the COVID-19 pandemic, policies similar to other countries have been implemented in Turkey. However, protectionist policies and economic supports developed within the scope of COVID-19 have affected the economy and sectors at different levels. In this context, the study aimed to reveal the differences by analyzing the stringency and economic support indices and the index returns of 27 BIST sectors and sub-sectors in Turkey between 1/24/2020 and 12/30/2022 with the VAR Model. According to the causality test results, a causality relationship was detected from the stringency index to the Food and Beverage, Insurance, Services, Transportation, W. and Retail Trade, Wood Paper Printing sectors; and from the economic support index to the Banks, Basic Metal, Dividend, Holding and Investment, Leasing Factoring, Financials sectors and BIST 30 and BIST100 index returns. According to the impulse-response functions, it has been determined that BIST sector index returns generally react negatively to the shocks experienced in the tightness index for a short term such as 1 month, and respond positively to the shocks experienced in the economic support index in the short term such as 1 month. According to the variance decomposition results, changes in the economic support index are more meaningful than the tightness index in explaining BIST sector returns over an average 10-month period.  This study provides different results from the studies that examine the COVID-19 pandemic and the Turkish financial markets with the number of cases and deaths on a sectoral basis.