The study investigates the impact of banking policies on the abnormal return of Vietnamese financial institutions in the COVID-19 pandemic. The event study is used for analyzing the collected data from January 1st, 2019 to June 2nd, 2021 using the event study approach. By the impact of the Covid-19 pandemic, the State Bank of Vietnam (SBV)issued policies to support customers, each announcement is an event. The estimated results show that the announcements of SBV's policy have significantly negative effects on the share price of the banking industry and financial institutions. The stock price deeper declines in bank stocks than in a financial institution. Downturns started appearing from the 6th to the 10th days after the announcement. Financial institutions' stock had a smaller drop, but the time of volatility occurred earlier from the 4th to the 8th day after the announcement. This can see the Covid-19 pandemic affecting the banking industry even more severely than other industries in the same financial system in Vietnam. The research results confirm the existence of abnormal returns in the banking sector due to the impact of the Covid-19 pandemic