This study investigates the day-of-the-week effect on volatility, estimated using an EWMA approach, in the Korean stock market (KOSPI) and its industrial sectors under the external shock of the COVID-19 pandemic. Analyzing data from January 2000 to February 2025, we find that weekday-based volatility differences are negligible in normal periods. However, during the early phase of the pandemic (March–December 2020), a pronounced “Tuesday’s low-volatility pattern” emerges. This effect is more evident in shock-sensitive sectors—such as finance, insurance, banking, and electronics—and is further reinforced for industries with higher maximum drawdowns (MDD) at the onset of COVID-19. The results imply that a steep rise in Monday’s volatility followed by a sharp drop on Tuesday can lead to missed or delayed alerts in risk management systems relying on a “consecutive exceedance” criterion. Consequently, effective monitoring of day-specific volatility and sector-oriented risk strategies becomes increasingly critical under prolonged external shocks.