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In this paper, I document a novel finding of larger asset fragility in the less segmented markets in response to aggregate flow shocks. Empirical results suggest that the less segmented markets have larger correlations with aggregate flow. While the less segmented markets drop less in asset price in response to small outflow, these markets are less liquid and more fragile in response to large aggregate outflow. I then develop a new three-layer demand system with multiple extensions to the original one-layer demand system. Importantly, I include the layer of liquidation order, and propose a new instrument named mandate flow-induced trading (MFIT) in demand estimation. The demand system highlights the arbitrageurs’ differential behaviors across markets with heterogeneous levels of segmentation. While the arbitrageurs tend to liquidate first and proportionally liquidate more in the more segmented market in response to flow, they have much larger elasticity in the more segmented market. The numerical results using the new demand system produce the asset price dynamic estimates that are qualitatively and quantitatively consistent with the empirical results.