This study examines the risk–return performance of Nifty100 ESG and the Nifty Enhanced ESG equity indices listed on India’s National Stock Exchange (NSE) relative to the conventional Nifty 100 benchmark from April 2011 to June 2023. Rather than asserting formal “abnormal returns” in the asset-pricing sense as per CAPM or multi-factor alpha estimation, this study documents systematic return outperformance and time-varying volatility dynamics using unit root tests, month-of-the-year dummy regressions with ARIMA error correction, and GARCH-family conditional volatility models. The two ESG indices delivered cumulative returns much higher than the broader Nifty 100 index. Conditional volatility peaked for ESG indices when compared to Nifty 100 during the April 2020 COVID-19 shock, indicating marginally greater ESG resilience. A distinct March effect, which is analogous to the January effect in developed markets, is observed to be significant for the ESG indices. Our findings underscore the growing importance of responsible investing and time-varying risk premia in the Indian equity market.

This study investigates whether impact investing through Environmental, Social, and Governance (ESG) indices listed on India’s National Stock Exchange (NSE) can generate abnormal returns relative to the broader market benchmark. Using data from ESG indices listed on the National Stock Exchange between April 2011 and June 2023, the analysis evaluates the risk–return performance of the Nifty100 ESG and Nifty Enhanced ESG indices relative to the Nifty 100 benchmark. We applied a comprehensive suite of time-series methodologies encompassing unit root testing, month-of-the-year dummy regressions, ARIMA residual modelling, and, critically, Generalised Autoregressive Conditional Heteroscedasticity (GARCH) family models to test the impact investing hypothesis. Conditional volatility surged in April 2020 during the COVID-19 market shock, however the ESG indices exhibited slightly lower peak volatility than the Nifty 100. Results show that both ESG indices outperformed the conventional benchmark over the full sample period, achieving cumulative gains of about 272–274% compared with 240% for the Nifty 100. A distinct March effect—analogous to the January effect in developed markets—is detected at the 10% significance level for ESG indices. Our findings underscore the growing importance of responsible investing and time-varying risk premia in the Indian equity market.