The great financial crisis in 2007 followed by COVID in 2019 made us realized that future lies in sustainable economic development. In this context, sustainable financial markets are increasingly getting more responses from investors, policymakers, and researchers, as it helps in forecasting risks and returns, optimizing portfolios, and formulating economic policies. Globalization has amplified cross-border financial risks, causing ripple effects across global markets. In this context, this study analyzes the dynamic linkage among the S&P Green Bond Index (S&PGB), S&P 500 ESG Index (S&PESG), Renewable Energy Industrial Index (RENIXX), Dow Jones Sustainability World Index (DJSW), Dow Jones (DOW) and DAX Europe (DAX) and their volatility spillover impact on Indian Stock Market. Volatility for each financial market is measured using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, which provides a comprehensive assessment of market fluctuations. The Polynomial Distributed Lag (PDL) model is applied to investigate the relationship between the Nifty index and various global financial indices. To further validate these findings, a Vector Error Correction Model (VECM) is utilized to capture the long-term equilibrium progress among the selected markets, with the PDL model offering additional confirmation. The results reveal a significant causal linkage between the Indian stock market and most of the global markets analyzed, underscoring the interconnected nature of financial markets and the importance of mitigating cross-border financial risks.