I'm a Korean student, want to apply China student visa at Malaysia, is it possible? And what documents require?

Yes, it is possible if you an provide all the reauired documents below:
a. Your valid & actual passport. The passport must have at least six (6) months validity left before expiration and at least one blank page left in it.
b. One completed Visa Application Form with one additional passport photo (black & white or color is acceptable).
c. An approved Foreign Student Visa Application Form (JW101 or JW202) issued by the authorized Chinese unit, and an enrollment letter from the Chinese school.
d. For the applicant who will study in China for more than one year shall also provide a Physical Examination Certificate for Foreign Citizen.