Introducing the New ESG ‐Based Sustainability Uncertainty Index ( ESGUI )

ABSTRACT Rising uncertainties can affect countries' sustainability efforts. Therefore, this study develops and introduces a new ESG‐based sustainability uncertainty index (metric) called ESGUI for the first time. This new index is necessary to better analyze how uncertainties based on ESG (environmental, social, governance) factors, increasingly prominent in the modern business world, are reflected in investment processes. Accurate ESG risks are critical for investors and policymakers. To create this index, we employed text mining techniques on the Economist Intelligence Unit's monthly country reports, analyzing the frequency of ESG‐related keywords and uncertainty indicators. Specifically, the world…