This study aims to investigate the dynamic relationship between global crude oil prices and stock prices from the perspective of crude oil exporters and importers. The relationship between oil prices and stock prices is examined using an MS-VAR model for BRICS (Brazil, Russia, India, China, and South Africa) from October 1997 to October 2023. There is no Granger causality from oil prices to stock markets in the BRICS countries at either regimes. The results of the impulse response analysis show that the stock market response to oil price shocks is different across all countries in regimes respectively. In particular, the stock market response to unexpected oil price shocks is positive and statistically significant in the low mean and high volatility regime in all countries except China, suggesting that higher oil prices in these countries can be characterized as a demand-side shock. It suggests that structural changes in the oil market have increased the uncertainty of oil prices and amplified a number of macroeconomic shocks. Given the increased volatility and uncertainty caused by negative oil price shocks, there is an even greater need to specifically plan investment and production in detail based on forecasts during periods of uncertainty in oil prices. Next, since the expansion of volatility due to the rise in oil prices, as well as the expansion of volatility due to the plunge in oil prices in the financial crisis, are simultaneously and significantly manifested, the efficient and effective policy response of the government to the shock of oil price volatility may be more closely required.