The volatility of equity flows in ASEAN emerging markets

Abstract

The volatility of foreign equity flows into and out of ASEAN emerging markets is a source of concerned for macroeconomic and financial stability. This thesis uses the DCC-MGARCH model examine the volatility co-movement of daily net foreign equity flows for four ASEAN emerging economies (Thailand, Malaysia, Indonesia and the Phillipines) from 1st October 2009 to 28th December 2018. Furthermore, the SUR model is employed to understand which global and domestic macroeconomics factors may affect the volatility of net foreign equity flows. Overall, we find a slowdown of net equity flows to these ASEAN emerging markets especially since 2015 with the normalization of US monetary policy.