LAUSR

This study examines the relationships between ESG‐based Sustainability Uncertainty (ESGUI) and key financial indicators—including stock markets, oil prices, gold prices, and the VIX index—across the G7 countries from 2003 M1 to 2024 M1. Using advanced econometric methods, the study captures how financial indicators respond differently to positive and negative ESG‐related shocks and accounts for sudden changes in market behavior over time. The results show that ESGUI is strongly influenced by stock markets and the VIX index, particularly during negative shocks, with the US and France showing the greatest sensitivity, whereas Italy appears more resilient. These findings emphasize the importance for policymakers and investors to consider ESG uncertainty in financial decisions and highlight the strategic role of ESG risk indicators in market behavior under stress. Overall, the study contributes to the literature on ESG risks by integrating sustainability uncertainty into financial market analysis in a clear and practical way.