AbstractThe COVID-19 pandemic is one of the most unparalleled disasters the world has ever seen. Previously, the global community has faced the Middle East Respiratory Syndrome (MERS), Ebola Virus Disease (EVD), and Severe Acute Respiratory (SARS). However, the tremendous rate of infection created by the global COVID-19 pandemic is unmatchable with its rapid spread all over the world. Therefore, it is considered as a Black Swan event as created previously by the 2008 financial crisis, SARS, and 9/11 terrorist attack. All these events have triggered panic selling that affected the confidence of investors and businesses. Subsequently, stock market performance has affected the choice of investment decisions that translated into stock return. Therefore, this paper was undertaken to investigate the co-integration and causality relationship among global COVID-19 daily infected cases, COVID-19 recoveries rate, COVID-19 death rate, investor sentiment, government policy, foreign exchange rate, Malaysia.....