Covid-19 outbreak has caused economic policy uncertainties. The first
COVID-19 case was reported in Wuhan, China at the end of 2019. The virus
spread escalated in volume during the Chinese New Year festival. World
Health Organisation declared a global health emergency on January 30,
2020. The global financial market was badly hit when oil price slumped to
over 30% and oil price war also occurred between Saudi and Russia. The
stock market, too displayed signs of being impacted by the virus outbreak. It
is very important to determine if COVID-19 has affected economic
uncertainty and oil prices or the oil price fall has affected the economic
instability and stock market volatility Three models were used in this study
to analyse the relationship between the recent spread of COVID-19 in
Malaysia, Malaysia stock market, oil prices in Malaysia and Global
Economic Policy Uncertainty (GEPU) in time-frequency domain. The
coherence wavelet methods were used to analyse the movement of each
variable and to evaluate the interactions between the selected variables from
January 25, 2020 to May 25, 2020. The Wavelet-based Granger Causality
were applied to test the robustness of the coherence wavelets. Three main
conclusions from this study were i) oil prices were influenced by stock market
and GEPU index, ii) stock markets and GEPU index had interactions with
the pandemic and iii) short term effects existed between the pandemic and
oil prices. More accurate results concerning the volatility of GEPU, stock
market and oil price, can be obtained in future research works in this area if
Malaysia Economic Policy Uncertainty index is used.