An Analysis on the NASDAQ’s Potential for Sustainable Investment Practices during the Financial Shock from COVID-19

Round 1

Reviewer 1 Report

1. In the abstract, the insights of the research need to be explained in more detail.
2. It is unclear why the top and bottom 30% are the criteria for analysis. More precise definitions and explanations are required.
3. The number of samples for specific industries such as energy, basic materials, and utilities is insufficient. Also, the number of top 30% companies is quite different from the number of bottom 30% companies. These differences can lead to bias in the analysis results. Is there enough explanation for this part?

Author Response

Please find attached the report.

Author Response File: Author Response.pdf

Reviewer 2 Report

This is an interesting manuscript, the authors of which drew attention to the little-studied issues of investing. The authors rightly noted that there is still no standard SEC metric for evaluating a business by its sustainability.

Comments and suggestions:

1. It should be clarified for whom the results of the study are intended. According to the results, the volatility of the top 30% of CSR stocks and the bottom 30% of CSR stocks has a relatively similar response to the pandemic. The only significant difference is the initial spike caused by the shock at the beginning of the pandemic. Do such short-term market fluctuations matter to large financial companies and small investors focused on long-term sustainable investments?
2. The result of the manuscript is interesting, but whether the conclusions will be confirmed in the conditions of extreme uncertainty of the stock market caused by unexpected global events of a different origin.
3. An interesting step in this direction has been taken, but, as the authors rightly pointed out, further analysis is needed to determine the financial results of investing in sustainable stocks.

Minor design note: Figure A7 must be executed correctly.

Author Response

Please find attached the report.

Author Response File: Author Response.pdf

Reviewer 3 Report

The paper studies, by means of GARCH and EGARCH methods, whether sustainable investments within the NASDAQ have lower volatility (conditional variance) when reacting to the COVID-19 global crisis.

In general terms, the paper is well motivated and provides a good overview of the relevant literature, and the purpose of the paper is set up in a clear manner.

Because of the relevance of the topic and the clarity of presentation, I consider that the paper can be a candidate for publication. Yet, I find a number of shortcomings that should be solved:

Minor comments

1. Some paragraphs (line 59-65 or line 521-528) present vague and even naïf arguments. The authors should deep in these arguments or, at least, mention some literature that supports them. Otherwise, these paragraphs should be deleted.
2. The authors do not explain why they use the top 30% and the bottom 30% of ranked CSR stocks. Why the 30%?, why not the 20? Or the 10? The authors should explain that and, if possible, provide some literature in this respect. Additionally, for the sake of robustness, the authors could consider other percentiles and compare the results.
3. The authors should argument why the GARCH method is chosen. A GARCH model is a special case of a GAS volatility model when the measurement density is normal. The authors should elaborate on that.
4. In a scientific research, it does not seem appropriate to use the Stata’s (or any software’s) output to display the results. Authors should elaborate their own graphs.

Major comments

The authors do not discuss their results. Why technology is the only sector where the top 30% CSR stocks have higher volatility rates? Why Technology and Consumer Goods are the only sectors that have a larger initial drop in returns for the top 30% CSR stocks?

If the authors do not discuss their results, do not point to feasible hypothesis to explain them and do not relate them to the existing literature, they are just offering an empirical exercise which has a quite limited scientific value.

Author Response

Please find attached the report.

Author Response File: Author Response.pdf

Round 2

Reviewer 3 Report

I would delete the expression: “According to the economic theory”. It suggests that there is only and universal economic theory. It is not true.

This manuscript is a resubmission of an earlier submission. The following is a list of the peer review reports and author responses from that submission.