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We examine the hedging properties of different asset classes as impacted by the Russian invasion of Ukraine in 2022. We employ wavelet coherence analysis to study the impact of geopolitical risk on various types of securities. We found that different asset classes exhibited unequal risk sensitivity in both magnitude and timescale. Bonds and stocks displayed strong coherence for multi-week horizons, whereas currencies were affected at shorter periods. The green bonds, gold, silver, Swiss franc, and real estate proved the most resistant to geopolitical risk fluctuations. Hence, they may serve as the best hedge against geopolitical risk.
Będowska-Sójka et al. (Fri,) studied this question.