This study investigates the interconnected dynamics among the Dow Jones Sustainability World Index and two volatility indexes, the Cboe Volatility Index and ICE BofA MOVE Index. It examines their relationships and causalities within daily data spanning from January 2014 to July 2023. The research employs wavelet power spectrum (WPS) and wavelet coherence analyses (WCA) to delve into these interconnections. The wavelet power spectrum reveals noteworthy volatility spikes in the indexes during specific periods linked to geopolitical occurrences, the COVID-19 pandemic, and global uncertainties. A wavelet coherence analysis unveils how the DJ Sustainability World Index significantly influences the Cboe Volatility Index and ICE BofA MOVE Index across short, medium, and long-term perspectives, albeit with variations in certain periods. The empirical findings underscore the intricate relationships between sustainability and volatility indexes, shedding light on their nuanced causal interplay over time. The insights from this study hold paramount implications for policy-makers, investors, and financial institutions navigating a complex and uncertain landscape. The identified relationships between sustainability and market volatility can aid in making informed decisions. This research adds original value by uncovering the time-varying relationships between sustainability and volatility indexes, revealing their interdependencies across diverse temporal scales. Given the observed causal relationships, policy-makers and investors are recommended to consider sustainability-related developments when assessing market volatility. This proactive approach can lead to more informed decision making and effective risk management strategies. © 2023 by the authors.