This study reassesses the dynamic relationship between stock, oil, foreign exchange markets, and COVID-19-induced uncertainty. For estimation, we utilize the monthly data from January 2020 to December 2021 and utilize panel vector autoregression econometric techniques in emerging market economies. The empirical findings reveal that heightened uncertainty during the pandemic had a negative impact on stock and oil, and foreign exchange markets. Findings further suggest that uncertainty during the pandemic slanted the relationship between oil and stock and foreign exchange markets due to the precautionary approach followed by economic agents. • COVID-19 uncertainty negatively impacted the oil, stock, and foreign exchange markets. • Uncertainty had a non-linear impact on stock and oil prices. • During the initial period of COVID-19, uncertainty distorted the relationship between oil, stock and exchange markets. © 2022