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

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Authors
Będowska-Sójka, Barbara
Demir, Ender
Zaremba, Adam
Date
2022
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Creative Commons License
Creative Commons Attribution 3.0 Poland License
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.
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Keywords
geopolitical risk hedging    Russia-Ukraine war    invasion    financial markets    wavelet coherence analysis    co-movement
Citation
Bedowska-Sojka, Barbara and Demir, Ender and Zaremba, Adam, Hedging Geopolitical Risks with Different Asset Classes: A Focus on the Russian Invasion of Ukraine (April 22, 2022). Available at SSRN: https://ssrn.com/abstract=4085689 or http://dx.doi.org/10.2139/ssrn.4085689
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https://open.icm.edu.pl/handle/123456789/22584
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Artykuły / Articles