Measuring the dynamics of ESG-related uncertainty in financial markets: Evidence from the sustainability uncertainty index<sup>1</sup>

Berna Dogan Basar; Ibrahim Halil Eksi; Berna Dogan Basar; Ibrahim Halil Eksi

doi:10.3934/GF.2026013

Green Finance

2026, Volume 8, Issue 2: 351-371. doi: 10.3934/GF.2026013

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Research article

Measuring the dynamics of ESG-related uncertainty in financial markets: Evidence from the sustainability uncertainty index¹

Berna Dogan Basar ^{1
,
,},
Ibrahim Halil Eksi ²

1.
Bolvadin Faculty of Applied Sciences, Department of Banking and Insurance, Afyon Kocatepe University, Türkiye
2.
Faculty of Economics and Administrative Sciences, Department of Management, Gaziantep University, Türkiye
¹ This manuscript was previously presented in abstract form at the IX International Congress on Applied Social Sciences (C-IASOS – 2025). The current submission represents a fully developed, original work

Received: 06 December 2025 Revised: 07 May 2026 Accepted: 21 May 2026 Published: 02 June 2026
JEL Codes: C59, G15, Q01

The aim of this study was to identify the systemic connectedness between ESG-based sustainability uncertainty (ESGUI) and stock markets and to reveal how these relationships changed under different volatility regimes and time horizons for the period 2002–2024. The analysis process integrated the time domain connectedness index of Diebold and Yılmaz (2012), the frequency-domain connectedness method of Baruník and Křehlík (2018), the quantile-based connectedness analysis of Ando et al. (2018), and the combined quantile–frequency connectedness approach of Chatziantoniou et al. (2022). The findings were evaluated separately for the entire period and for the subperiods of the Paris Agreement (2015–2016), COVID-19 (2020–2021), Russia–Ukraine war (2022–present), energy crisis (2021–2022), EU Green Deal (2019–2020), and carbon pricing process (2021–2023).
- ESG uncertainty,
- financial connectedness,
- stock markets,
- quantile connectedness,
- frequency-domain analysis
Citation: Berna Dogan Basar, Ibrahim Halil Eksi. Measuring the dynamics of ESG-related uncertainty in financial markets: Evidence from the sustainability uncertainty index¹[J]. Green Finance, 2026, 8(2): 351-371. doi: 10.3934/GF.2026013

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Abstract

The aim of this study was to identify the systemic connectedness between ESG-based sustainability uncertainty (ESGUI) and stock markets and to reveal how these relationships changed under different volatility regimes and time horizons for the period 2002–2024. The analysis process integrated the time domain connectedness index of Diebold and Yılmaz (2012), the frequency-domain connectedness method of Baruník and Křehlík (2018), the quantile-based connectedness analysis of Ando et al. (2018), and the combined quantile–frequency connectedness approach of Chatziantoniou et al. (2022). The findings were evaluated separately for the entire period and for the subperiods of the Paris Agreement (2015–2016), COVID-19 (2020–2021), Russia–Ukraine war (2022–present), energy crisis (2021–2022), EU Green Deal (2019–2020), and carbon pricing process (2021–2023).

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