Sustainability uncertainty and stock return volatility: evidence from Vietnam
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Sustainability uncertainty
stock return volatility
emerging market
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This study examines whether sustainability uncertainty impacts firm-level stock return volatility in an emerging market. The sample consists of 559 non-financial firms listed on the Ho Chi Minh Stock Exchange (HOSE) and the Hanoi Stock Exchange (HNX) over the period from 2014 to 2024. Sustainability uncertainty is measured as the new ESG-based Sustainability Uncertainty Index (ESGUI). The results indicate that ESG-related uncertainty increases stock return volatility. The positive effect of ESG uncertainty is less pronounced among firms with higher profitability and lower leverage. Our results are robust to different measures of stock return volatility, alternative specifications, and remain unchanged after controlling for the COVID-19 crisis. Our study provides a novel evidence on the effect of ESG uncertainty on stock volatility in context of an emerging market. As such, we highlight the importance of intergration of ESG consideration in risk management and policy making.
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Jun 30, 2026
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Anh, T. N. T., và L. T. T. Nguyen. “Sustainability Uncertainty and Stock Return Volatility: Evidence from Vietnam”. Tạp Chí Khoa học Và Công nghệ Đại học Đà Nẵng, vol 24, số p.h 6A, Tháng Sáu 2026, tr 150-5, doi:10.31130/ud-jst.2026.24(6A).197E.
