This paper uses a factor model to explore the driving forces of institutional equity flows in ASEAN+3 region. It shows that global and regional comovement and momentum explain 46% to 78% of the variations of the economy-level equity flows. The above three factors also well incorporate the effects of major global push factors and other unobservable common drivers on equity flows. We find significant evidence of escalating global comovement during US tantrum, and increasing regional comovement during the Global Financial Crisis and European Debt Crisis.
This paper is published under the AMRO Research Collaboration Program. Launched in 2017, the AMRO Research Collaboration Program aims at enhancing AMRO’s research capabilities and expanding AMRO’s network through collaboration with external academicians and experts and increasing the visibility of AMRO’s research activities. It is implemented with support from the AMRO Technical Assistance Trust Funds financed by the Ministry of Finance of China, the Ministry of Economy and Finance of Korea, and the Ministry of Finance of Japan.