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

Pandej Chintrakarn

Applied Financial Economics Letters, 2007, vol. 3, issue 3, 181-185

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.

Date: 2007
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DOI: 10.1080/17446540600993829

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