Mapping Interference in Green Finance, Environmental, and Social Innovation: A New Insight From Quantile‐on‐Quantile Approach

ABSTRACT Green finance serves as a pivotal instrument in advancing sustainable performance by mobilizing capital toward environmentally responsible initiatives and enhancing social value creation; thus, how organizations can effectively contribute to environmental and social performance has concerned the attention of legislators and policymakers. The current study employed GMM‐based Quantile to evaluate the heterogeneous effects of sustainable financial practices. Moreover, the dynamic and nonlinear relationships across different distributional characteristics of both variables were examined by Quantile on Quantile (QQR) model. The analysis incorporates a sample of 451 non‐financial firms listed on the S&P 1500 index over the period 2013–2023, with firm‐level data sourced from the Refinitiv DataStream platform. The empirical findings indicate that green finance practices potentially contribute to both environmental and social innovation performance. Furthermore, the realization of responsible production and consumption can be effectively facilitated through green investment practices. On the other hand, findings from the QQR analysis reveal that green finance exhibits an asymmetric influence on community development and employee well‐being. The empirical results substantially validate the Environmental Kuznets Curve hypothesis under environmental innovation, whereas social innovation underpins stakeholders' theory.