The coronavirus outbreak at the end of 2019 hit many aspects of the financial sector, especially the stock market. This research examines the impacts of the COVID-19 pandemic, exchange rates, gold price, and the Brent oil price on the volatility of the Sustainable Stock Market in Asia. A quantitative research method is applied using average monthly panel data from March 2020 to April 2022, covering the COVID-19 pandemic period. We employed panel regressions and applied Feasible Generalized Least Square (FGLS) in the analysis, which also serves as a robustness check. This study contributes to the literature by examining the variables significantly impacting sustainable investing, particularly in the sustainable stock market. Empirical results find that COVID-19, gold price and the exchange rate have negatively affected sustainable stock market volatility, while the Brent oil price has a positive impact on the volatility of the sustainable stock market. This study's recommendations infer that both investors and managers should consider the increase of COVID-19 cases and frequency-varying exchange rates to the USD on the Asian sustainable stock market volatility
