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

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).