Hedging Geopolitical Risks with Different Asset Classes: A Focus on the Russian Invasion of Ukraine

Barbara Będowska-Sójka, Ender Demir and Adam Zaremba

Finance Research Letters, 2022, vol. 50, issue C

Abstract: 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.

Keywords: Geopolitical risk hedging; Russia-Ukraine war; Invasion; Financial markets,wavelet coherence analysis; Co-movement (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (56)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322003981

DOI: 10.1016/j.frl.2022.103192

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