Exploring the impact of geopolitical risk and global uncertainty on ESG-based sustainability uncertainty: Evidence from Vietnam

• Uses WQQR to link GPR, CPU, GEPU, TPU with Vietnam’s ESGUIV. • GPR, GEPU, and TPU raise ESG uncertainty across all horizons. • CPU shows a short-term weak negative effect on high ESG quantiles. • Long-run risks rise with growing global and policy uncertainties. • Highlights the need for stability policies to protect sustainability. This study employ the wavelet quantile-on-quantile regression approach to examine the impact of Geopolitical Risk (GPR), Climate Policy Uncertainty (CPU), Global Economic Policy Uncertainty (GEPU), and Trade Policy Uncertainty (TPU) on Sustainability Uncertainty in Vietnam (ESGUIV) for the period from June 2007 to June 2025. The findings indicate that ESGUIV is positively affected by CPU, GEPU, GPR, and TPU in all time horizons, except for CPU in the short term, which shows a weak negative impact on higher quantiles (0.9) of ESGUIV. This indicates that increasing GPR, GPU, TPU, and CPU (except the short term) can raise ESGUIV especially in the long term.