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This paper examines the dependence structure between the Brazilian stock market (IBOVESPA) and some relevant global factors. The study covers the period from January 2010 to December 2020 (daily frequency) and adopts the quantile regression approach. Regarding to existing empirical literature, this work advances in two main points: i) it uses the most recent data, including the initial phase of the COVID-19 pandemic, which significantly affected world financial markets; and ii) it checks whether the global crisis, arising from the COVID-19 pandemic, affected the dependency structure and the co-movements between the IBOVESPA index and global factors. The mean results reveal that the Brazilian stock market exhibit dependence with global factors, especially regarding to the series SP&500 (SP500), oil price (WTI) and exchange rate (CAM). The US volatility index (VIX) and the US policy uncertainty index (IIP) do not significantly impact the IBOVESPA. In addition, during the COVID-19 pandemic period, it can be seen that: a) the statistical significance of the variables was verified only in some quantiles, especially in the intermediate quantiles; b) the SP500 variable had its effects accentuated; and c) the price of oil started to show a negative correlation with the returns of the IBOVESPA. Finally, the dependency structure appears to be symmetrical with respect to the quantiles, in both scenarios (crisis and non-crisis of the COVID-19 pandemic). [ABSTRACT FROM AUTHOR]