The landscape of Environmental, Social, and Governance (ESG) reporting and investment choices in India remains largely unexplored. This study investigates the relationship between ESG reporting and investment choices from a fast-emerging market such as India by conducting a comparative analysis of ESG indices in India, including the Nifty 100 Enhanced ESG Index., Nifty 50, and other safe-haven assets, such as gold, silver, and 10-year Treasury bond yield. From the results, it has been found that the average returns of the Nifty50 and Nifty100 ESG index are higher than the other assets, such as gold, silver, and 10-year treasury bonds. The results of the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model confirm the presence of volatility clustering in all study samples. Exponential GARCH (E-GARCH) indicates a presence of leverage effect only for the equity indices Nifty 50 and Nifty100 ESG Enhanced index. The outcome of the Threshold GARCH (T-GARCH) signifies that bad news has a significant effect on volatility on Nifty 50, Nifty 100 ESG Enhanced, Silver, and Treasury bonds compared with good news except for gold. Thus, the findings of the study infer that investors could generate better returns by investing in companies that practice ESG. It also provides more avenues for the companies to raise capital, which strongly reports ESG practices. The outcome of the results can help investors diversify their portfolios and rebalance their investment strategies.