Investors reacted with panic and fear to the Coronavirus (COVID-19) pandemic and they created financial fluctuations. The aim of this study is to examine the volatility levels of S&P500 sector portfolios' systematic risks in terms of different investment horizons. We employed the wavelet approaches that allow for analyzing the behavior of time series both jointly at the time and frequency spaces. ... [Show full abstract] Thus, we observed the variation of financial beta coefficients, and the volatility levels of systematic risks over different investment horizons by sectors. Daily returns of 386 stocks from eleven sectors and S&P500 index was used for the period of January 2005 and July 2020. The findings of the study show that the systematic risks of sectors vary over different investment horizons. This means that the sensitivity of sectors to the daily movements of the market change at various time scales. Moreover, the volatility levels of systematic risks of each sector change over different investment horizons during the pandemic period. The results show that investors in the S&P 500 ignore the COVID-19 at the beginning, however, they reacted with panic during the pandemic period. In this respect, the findings provide supporting evidence on behalf of the Prospect Theory.