The paper investigates the stock market response to COVID-19 induced financial uncertainty and the role of pre-shock firm-specific characteristics in shaping such stock market behaviour using a sample of S&P BSE 500 companies. Initially, the stock market experiences a significant downfall due to COVID-19 induced uncertainty; although, the market appears to rebound after a major setback. Downfall and recovery are quite surprising as downfall happened when cases were extremely small in number and there was no nation-wide lockdown announcement yet. Recovery happened when strict lockdowns were enforced and cases were rising significantly. Stock market reaction were heterogeneous among industries and various firm characteristics. On closer analysis, we find that some firms are more resilient to COVID-19 shock than others. Our analysis reveals that the most affected were small-sized, high beta, loser, and low-profitability firms as indicated by univariate analysis. The multivariate analysis finds momentum, profitability, beta, market capitalization, age, and book-to-market ratio to be the major determinants of cross-sectional CARs during downfall & recovery period. The study provides evidence of the negative reaction to COVID-19 induced uncertainty and subsequent recovery. We concludes that pre-COVID firm-specific factors play an essential role in explaining the variation in the stock market reaction to COVID-19 induced uncertainty.