Abstract: Using EPFR fund-level data from 1997 to 2019, this paper investigates the heterogeneous impact of the global financial cycle on cross-border equity flows in emerging markets and its underlying causes from the perspective of investor structure. The results find that net inflows to cross-border equity fund in emerging markets are procyclical and the sensitivity of flows to the global financial cycle for ETFs is 1.7-1.8 times higher than for mutual funds. The reason behind this is that ETFs have a higher proportion of short-term investors and benchmark-driven investors. In addition, taking the MSCI-EM index as an example, this paper discusses the impact of A-shares inclusion in global benchmark indexes. The findings are verified by macro-level aggregate analysis and further decomposition of the global financial cycle factor. The policy implication is that policymakers should not only pay attention to the scale of cross-border portfolio flows, but also need to monitor the investor types and structure behind flows, and adopt corresponding macro-prudential and micro-prudential management measures to prevent financial risks from external shocks.