This study examines how firm-level environmental and social performance relates to stock price volatility in an emerging market characterized by limited transparency and weaker institutional frameworks. While prior research largely relies on linear models and focuses on developed economies, this study adopts a dynamic, data-driven perspective to capture potentially nonlinear and time-dependent sustainability–risk patterns. Using a panel of non-financial firms listed on the Tehran Stock Exchange (TSE) over the period 2011–2023, firm-level environmental and social indicators are constructed based on systematic analysis of sustainability disclosures. Empirical results from conventional linear regressions indicate weak and statistically insignificant average associations between sustainability performance and stock volatility. However, learning-based models, including reinforcement learning and LSTM neural networks, demonstrate superior ability to capture nonlinear and dynamic volatility patterns conditional on sustainability-related information. These findings suggest that sustainability disclosures contain predictive information for volatility dynamics, even when linear risk-reduction effects are not evident. The study highlights the importance of flexible modeling frameworks when assessing the financial implications of environmental and social performance in emerging markets.
Azadvar,S. and Azarberahman,A. (2026). When Sustainability Meets Machine Learning: Reinforcement and Neural Evidence from an Emerging Market. Knowledge Economy Studies, 3(1), 21-30. doi: 10.22034/kes.2026.2077788.1087
MLA
Azadvar,S. , and Azarberahman,A. . "When Sustainability Meets Machine Learning: Reinforcement and Neural Evidence from an Emerging Market", Knowledge Economy Studies, 3, 1, 2026, 21-30. doi: 10.22034/kes.2026.2077788.1087
HARVARD
Azadvar S., Azarberahman A. (2026). 'When Sustainability Meets Machine Learning: Reinforcement and Neural Evidence from an Emerging Market', Knowledge Economy Studies, 3(1), pp. 21-30. doi: 10.22034/kes.2026.2077788.1087
CHICAGO
S. Azadvar and A. Azarberahman, "When Sustainability Meets Machine Learning: Reinforcement and Neural Evidence from an Emerging Market," Knowledge Economy Studies, 3 1 (2026): 21-30, doi: 10.22034/kes.2026.2077788.1087
VANCOUVER
Azadvar S., Azarberahman A. When Sustainability Meets Machine Learning: Reinforcement and Neural Evidence from an Emerging Market. Knowledge Economy Studies, 2026; 3(1): 21-30. doi: 10.22034/kes.2026.2077788.1087
