Are Cryptocurrencies Compatible with Environmental, Social and Governance Investing? A Multi-country Wavelet Analysis of Bitcoin, Ethereum and Sustainability-oriented Equity Markets

This study examines whether Bitcoin (BTC) and Ethereum (ETH) are compatible with environmental, social and governance (ESG)-oriented investing across six market-specific ESG equity markets: The United States, China, Japan, Hong Kong, India and France. Using 784 daily observations from April 2021 to March 2025, the study applies cross-wavelet transform, wavelet coherence, partial wavelet coherence and wavelet correlation, with pairwise Time-Varying Parameter Vector Autoregression (TVP-VAR) connectedness as a robustness check. The findings show that crypto-ESG compatibility is conditional rather than uniform. ETH exhibits stronger and more persistent ESG–market dependence than BTC, particularly in the post-Merge period, whereas BTC–ESG relationships are generally weaker and more episodic. Dependence also varies across investment horizons, periods of market stress, and ESG markets, with comparatively stronger associations in the United States, France and India. Robustness tests further support the greater persistence of ETH–ESG relationships. Overall, crypto-ESG compatibility is dynamic, asset-specific, horizon-dependent and market-conditioned rather than a fixed sustainability attribute, implying that investors and policymakers should assess cryptocurrency exposure according to the asset, investment horizon, market conditions and ESG–market environment.