IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v96y2026ics1544612326003004.html

Sustainability uncertainty and cryptocurrency returns: Evidence from green and brown assets

Author

Listed:
  • Wang, Jying-Nan
  • Liu, Hung-Chun
  • Hsu, Yuan-Teng

Abstract

We employ Ongan et al.’s (2025) ESG-based sustainability uncertainty index (ESGUI) to investigate the impact of ESG-driven sustainability risk on cryptocurrency returns, with a particular focus on the heterogeneous effects between green and brown cryptocurrencies. Using daily data for the 14 most representative cryptocurrencies (seven green and seven brown) from January 2020 to June 2025, we find that ESGUI negatively predicts subsequent cryptocurrency returns in the full sample. Subsample results show that this negative predictive relationship persists for brown cryptocurrencies, whereas it becomes insignificant for green cryptocurrencies. Furthermore, the negative effect of ESGUI on future returns intensifies under low liquidity conditions, and this result remains robust across alternative ESGUI specifications and liquidity measures. These findings contribute to the growing literature on sustainable finance in digital asset markets and carry important implications for portfolio management and regulatory policy.

Suggested Citation

  • Wang, Jying-Nan & Liu, Hung-Chun & Hsu, Yuan-Teng, 2026. "Sustainability uncertainty and cryptocurrency returns: Evidence from green and brown assets," Finance Research Letters, Elsevier, vol. 96(C).
    • Handle: RePEc:eee:finlet:v:96:y:2026:i:c:s1544612326003004
    DOI: 10.1016/j.frl.2026.109770
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1544612326003004
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.frl.2026.109770?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:96:y:2026:i:c:s1544612326003004. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.