Cryptocurrencies operate in decentralized, fast-evolving ecosystems where environmental, social, and governance (ESG) factors may shape market behaviour. This study examines how ESG relates to price crash risk for 149 cryptocurrencies, offering a sustainability perspective on crypto assets. We extract ESG information from white papers and industry reports, develop criteria aligned with each asset's mechanism and function, and assign environmental, social, and governance ratings. Crash risk, our proxy for sustainability, is measured using the negative coefficient of skewness (NCSKEW) and the down-to-up volatility ratio (DUVOL). To ensure coverage and comparability, we begin with the top 500 by market capitalisation as of 30 October 2024 and retain assets with data available from 1 October 2020. We use ANOVA and decision-tree models to test how ESG characteristics explain variation in crash risk. Our findings confirm that ESG considerations can enhance crypto market resilience, as higher ESG ratings are associated with lower crypto price crash risks. Cryptos at the relatively low-risk group (by NCSKEW or DUVOL) average E = 1.3 (max 3), S = 3.4 (max 6), and G = 2.2 (max 3). These insights provide practical guidance for investors, developers, and policymakers aiming to reduce risks and promote sustainability in the crypto ecosystem.
Luo et al. (2025) studied this question.