<p>This paper provides a comprehensive analysis of return and volatility spillover effects across Environmental, Social, and Governance (ESG) markets of Asia, a region that remains underexplored despite its growing importance in global sustainable finance. Employing a novel Time-Varying Parameter Vector Autoregression (TVP-VAR) framework in the time-frequency domain, we examine eight markets from August 2010 to July 2024 to uncover nuanced transmission mechanisms distinct from those in well-researched Western markets. The results show that there is a strong regional connectedness among the Asian ESG markets, although significant heterogeneity exists among them. Overall, the return connectedness among ESG markets is relatively strong in the short term, while volatility spillovers are dominated by long-term effects and are more sensitive to extreme events such as the COVID-19 pandemic. The spillover effects of developed countries are more stable during extreme events; however, they do not remain fixed in their role as either risk transmitters or receivers. This conclusion also applies to the ESG markets in China’s emerging market (Mainland China) and developed market (Hong Kong). ESG markets in regions with higher economic levels demonstrate stronger resilience when facing extreme events. Finally, the application of portfolio strategies enhances the effectiveness of hedging in most countries during extreme events and provides specific, evidence-based advice for investors and policymakers, which plays a crucial role in risk control in the ESG investment market.</p>