I am Malaysian and I am going to Shenzhen via Luohu (Lo Wu) Port, am I eligible to apply for VOA?

The VOA may not be possible for Malaysian people recently based on the information I know. If possible, you can contact the Shenzhen Exit-Entry Adminstration Bureau for confirming and their phone number is 0755-82321000.

Personally speaking, you are suggested to apply for one in advance to make sure.