CPR was performed as he was rushed to hospital but Sgt Kokia was reportedly pronounced dead before he reached an air ambulance.
The attack happened just hours after the Israeli military shelled the Gaza Strip in response to mortar fire at troops on the border.
Authorities in Gaza said three Palestinians were wounded in the air strikes.
At approximately 9.30pm on Thursday, medics received reports of a young man who had been seriously wounded at a bus stop near Arad’s shopping mall.
An Arad police statement read: “Following an initial investigation by police forces at the scene it appears that the motivation for the stabbing… was nationalistic.”
Israel media reported the victim had been waiting for a lift in the moments before the attack.
His funeral will be held on Sunday afternoon in Tel Aviv.
