This paper analyzes the determinants of the volatility of the various types of capital inflows into emerging countries. After calculating a proxy of the volatility of FDI, portfolio and bank inflows, we use a panel data model to study their relationship with a broad set of explanatory variables. Our results highlight the difficulties policy-makers face in stabilizing capital flows. Thus, we show that since 2000 global factors beyond the control of emerging economies have become increasingly significant relative to country-specific drivers. However, we identify some domestic macroeconomic and financial factors that appear to reduce the volatility of certain capital flows without increasing that of others.