The current health crisis has several socioeconomic influences that could be compared to those experienced during the 2008 economic and financial crisis. Governments around the world are making great efforts to sustain markets as there are signs showing that the health crisis will be followed by an economic crisis. In this study, we aim to investigate the impact of COVID-19 on the Romanian stock market. For this purpose, we considered the influence on the Bucharest Exchange Trading (BET) index of such variables as the number of new cases and the number of new deaths caused by COVID-19, measures taken by authorities, and the international economic context. The collected data covered the period between 11 March 2020 and 30 April 2021. The Autoregressive Distributed Lag (ARDL) Bound cointegration test was used to measure the impact of COVID-19 on the stock market. The results showed a significant long-term negative impact of the pandemic on the BET index for Romania, while the European economic context had a positive influence. Therefore, these results could be used by authorities as a good guideline for the efficient management of measures that aim to reduce the negative effects of the healthcare crisis.