Cross border capital flows have attracted attention in the literature due to their significant increase over the recent period (Caporale, Ali, & Spagnolo, 2015). The present paper deals with equity flow movements between the United States and the United Kingdom, using a unified framework for the joint determination of equity flows, exchange rates, and equity returns. A vector autoregressive (VAR) system is employed, with explicit multivariate generalized autoregressive conditional heteroskedasticity (GARCH) modeling of conditional variances, volatility spillovers, and allowance for dynamic conditional correlations (DCCs) among the variables in hand. The paper’s contribution is twofold. First, we explicitly model dynamic volatility spillovers between these variables. Incorporating conditional variance interactions is important for two reasons. According to Hau and Rey (2006), the typical foreign equity investor holds currency risk and equity risk as a bundle (page 276). As markets are not complete (in which investors could swap and eliminate risk), exposure to risk implies that the international investor cares about both the volatilities of exchange rate and equity returns and for the correlation structure of exchange rates and equity returns. Another reason is that explicit modeling of volatility linkages helps us measure more accurately correlations, which constitute an important decision variable for international investors. Importantly, using a trivariate vector autoregressive‐generalized autoregressive conditional heteroskedasticity (VAR‐GARCH) framework, we simultaneously explore mean spillovers between net equity flows, exchange rate returns, and equity returns and thus, extend previous results from regression and VAR approaches (Ahearne, Griever, & Warnock, 2004; Brennan & Cao, 1997; Froot, O’Connell, & Seasholes, 2001; Hau & Rey, 2006). To our knowledge, this is the first study to look at both mean and volatility spillovers. Second, in our trivariate VAR‐GARCH model, we allow for DCCs. According to Hau and Rey (2004), conditional correlations between exchange rate returns, equity returns, and equity flows are important and carry implications regarding portfolio rebalancing. Importantly, the dynamic time‐varying conditional correlations obtained are free of any mean and volatility spillovers as the latter have been explicitly modeled. Our approach extends Hau and Rey’s (2006) time‐invariant unconditional correlations, by showing that the average correlation coefficient for the net flows—exchange rate changes and for the returns differential—exchange rate changes are lower than those found by Hau and Rey (2006). Dynamic correlations and “correlation uncertainty” are found to be reduced from the start of the 1990s to present. The rest of the paper is as follows. Section 2 presents the econometric methodology. Section 3 outlines the data. Section 4 discusses the empirical results. Section 5 concludes.