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The determinants of cross-border equity flows: a dynamic panel data reassessment

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  • Pandej Chintrakarn

Abstract

Portes and Rey (2005) use a static gravity model to analyse bilateral gross cross-border equity flows. Applying a dynamic gravity model reveals three additional insights. First, distance continues to exert a significant, negative effect on international asset transactions. Second, although the short-run effects of distance are generally of smaller magnitude than documented in PR, the implicit long-run effects remain quite large. Third, lagged asset flows play an important role, even after conditioning on the usual gravity model covariates.

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  • Pandej Chintrakarn, 2007. "The determinants of cross-border equity flows: a dynamic panel data reassessment," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 3(3), pages 181-185.
    • Handle: RePEc:taf:raflxx:v:3:y:2007:i:3:p:181-185
    DOI: 10.1080/17446540600993829
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