Novel coronavirus outbreak since December 2019 has infected more than 1 million people to this day. The severe impact of the coronavirus has affected the world economy including Malaysia. Some countries have implemented lockdowns to contain the virus from spreading and this affected business heavily especially financial market. The dependent variables used in this research is the Kuala Lumpur Financial Index. The independent variables are the number of COVID-19 daily cases, the number of COVID-19 death, the volatility index and the Brent Crude Oil Price. The pandemic has affected the whole economy as the Brent crude oil has plummet below USD40 per barrel. Therefore, this paper will include Brent Crude oil price as the variable to identify the relationship between the stock market index. Investors’ concern on the COVID-19 cases and death has impact on the market. This paper will focus on the impact of COVID-19 virus on the finance sector in Malaysia. This sector mobilizes savings and allocated credit; thus, it has significant contribution in raising people’s standard of living. The sample period used in this study is from 1st January to 31st July 2020.