In this research, we investigated the effect of the COVID-19 pandemic on the Pakistan Stock Exchange conventional (KSE-100) and Islamic (KMI-30) indices across its five waves. The DCC GARCH (1, 1) model employed from March 3, 2020, to August 30, 2022, divided into five periods corresponding to pandemic waves. The examination of dynamic conditional correlations between daily COVID-19 cases and stock returns revealed generally weak and predominantly negative co-movements across various pandemic waves. Visual representations underscored a tendency aimed at both indices to decrease slightly as COVID-19 cases increased, aligning with existing investigation on the adverse influence of pandemics on stock market performance. Wavelet coherence analysis utilized in the study to ensure robustness, revealing complex patterns of connection and interdependence between COVID-19 cases and financial indicators. The findings highlighted the intricate dynamics between a global health crisis and financial markets, providing valuable insights for investors and policymakers. Additionally, the analysis of dynamic conditional correlations between the KSE-100 and KMI-30 indices suggested a consistently strong positive correlation across all waves, challenging the common perception of Islamic indices as safe havens during financial crises. In light of the study's findings, it became evident that investors may not find refuge or hedging opportunities in Islamic stock markets during times of crisis, such as the COVID-19 pandemic. Contrary to common assumptions, the Shariah screening procedure did not shield Islamic stock markets, represented by KMI-30, from financial disasters like COVID-19.