While numerous studies have investigated the relationship between oil volatility and stock returns, it is surprising that little research has examined the quantile dependence and directional predictability from oil volatility to stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries. We address this issue by using the cross-quantilogram model proposed by Han et al. (2016). The empirical results show that, overall, oil volatility has a directional predictability for the stock returns in BRICS countries. When the oil vo...
