This　paper　employs　the　quantile　regression　techniques　to　examine　the　dependence　structure　between　economic　policy　uncertainty　(EPU)　and　stock　market　returns　in　G7　and　BRIC.　We　find　new　evidence　to　support　the　view　that　EPU　will　reduce　stock　market　returns,　with　the　exception　of　France　and　the　UK.　Our　results　show　that　eight　out　of　ten　stock　markets　reveal　asymmetric　dependence　with　EPU.　Moreover,　there　is　no　dependence　between　EPU　and　France/the　UK　stock　market.　©　2017　Elsevier　Inc.