The fundamental precept of alcohol and gambling stocks relates to higher return premiums, whereas ethical investments are pitched towards meeting environmental, social, and moral concerns of investors. Fostering this argument, the current study examines quantile coherencies among sin stocks, ethical investments and conventional markets. We report noteworthy quantile coherencies among markets at different frequencies reflecting higher diversification, safe-haven, and hedging potential of sustainable markets outpacing sin stocks and conventional markets. We proposed useful implications for practitioners, ethical investors, and policymakers.