The COVID-19 pandemic has created increasing uncertainty among companies and investors. As a result, it is necessary to investigate the behaviour of stock exchange mechanisms during the crisis generated by a virus. The purpose of the research is to determine the link between, the increase of the volatility of the shares on the Bucharest Stock Exchange and the specific stock market indicators during the COVID-19 pandemic. The dependent variables were standard deviation and simple moving average, and the variables considered were: PER, P/BV, EPS, DIVY, stock market capitalization and free-float. Data were collected regarding all the shares listed on the Bucharest Stock Exchange between 01.01.2020 and 01.03.2021. The study consists of two econometric models that allowed the identification of the links between the variables. The results obtained show that during the pandemic generated by Covid-19 the volatil-ity of the shares is not dependent on the variables considered. Of all the variables, only EPS has a statistically significant influence.

DOI: https://doi.org/10.3846/bm.2022.697