How do stock price indices absorb the COVID-19 pandemic shocks?

•We evaluate the ability of stock prices to absorb COVID-19 shocks.•We construct the measures of absorptive intensity and duration to identify a stock price’s absorptive capacity.•We employ a network topology approach to investigate the interactions of absorptivity among industry stock prices.•Stock price absorptivity varies over time and across industries and countries.•The health care industry shows a distinctive trend in absorptive intensity.