The integration of sustainability factors into investment decisions has transformed modern finance, with investors increasingly seeking to align their portfolios with environmental and societal values. The critical question remains as to whether the sustainability factor is priced in emerging markets. This study aims to provide a comprehensive analysis of the risk-adjusted return performance of three sustainability indexes of the emerging Indian market: NIFTY environmental, social and governance index (N100ESG), S&P BSE carbon-based thematic index (CARBONEX) and S&P BSE GREENEX (GREENEX) in comparison to the broad-based NSE 100 index (NIFTY100). The sample period for the analysis spans from January 2015 to August 2024. We have used risk-adjusted measures to evaluate the performance of sustainability indices. Additionally, we have analyzed downside risk, market-timing ability and volatility persistence using various generalized autoregressive conditional heteroskedasticity (GARCH)-type models. The findings indicate that sustainable investments offer competitive returns with better downside protection, especially for long-term investors. Among the indices, N100ESG demonstrated superior overall performance, while GREENEX stood out for risk–return resilience. However, reliance on market-cap criteria may dilute ESG purity. A more nuanced regulatory framework is essential to enhance the effectiveness of sustainable investing in India.
Gupta et al. (2026) studied this question.