The pandemic has brought economic and social challenges to society, policymakers, financial market investors and firms. The current study aims to shed light on the financial aspects of COVID-19 during the first wave in 2020. In doing so, the study aims to explore the association between COVID-19 cases, oil prices, and the stock market returns (Standard & Poor's). In this paper, the authors use the daily new cases of COVID-19, oil price and stock market return from 21 January 2020 to 10 April 2020. To check the nexus between studied factors, we apply Wavelet Coherence, Partial Wavelet Coherence and Multiple Wavelet Coherence methods. The graphical empirics of Wavelet Coherence Methods mentioned interesting outcomes; (i) COVID-19 and oil price tend to move in the same direction, with COVID-19 leading, (ii) COVID-19 affect stock market returns, and (iii) oil price and stock market returns have strong co-movement.