Abstract
The present empirically examines the impact of five variables, namely Economic level, Population-level, Urbanization level, Industry proportion, Fossil fuel energy consumption, and Methane emission on Carbon intensity in India. It also evaluates the volatility and impact of news on asymmetric volatility of sustainable indices in the Indian stock market, S&P BSE CARBONEX, S&P BSE GREENEX, and S&P BSE 100 ESG against S&P BSE SENSEX as poxy for the market index. The data for the study was collected from the World Bank Database and the official website of the Bombay Stock Exchange. The study used OLS regression to evaluate the impact of five variables on Carbon intensity and econometrics tools like GARCH and EGARCH to measure the volatility and impact of the news. The study found that Economic level, Fossil fuel energy consumption, Population-level, urbanization level, and Methane emission have a significant positive impact on carbon intensity. There is a negative relationship between economic level and carbon intensity. The volatility of SENSEX is higher than that of sustainability indices. The study found that there is an asymmetric impact of positive and negative news on stock volatility, as parameter γ is negative and significant for all indices.