Abstract:
This study investigates the heterogeneous responses of Bitcoin (BTC), gold (GOLD), and green bonds (GBOND) to geopolitical risk (GPR) shocks across different market regimes and investment horizons. Using a triadic empirical framework that encompasses wavelet quantile-on-quantile regression (QQR), wavelet cross-quantilogram (WCQ), and advanced portfolio optimization strategies, our analysis captures asymmetric dependence, tail risks, and time-frequency dynamics from January 2015 to December 2024. Our results show that BTC consistently has strong hedging potential at lower quantiles, particularly during short-term stress, whereas GOLD and GBOND offer greater stability over medium- and long-term horizons. Conditional expected shortfall (CES) and extreme downside correlation (EDC) analyses highlight BTC's resilience to extreme downside risks, whereas GOLD and GBOND serve primarily as long-term defensive assets. Portfolio optimization confirms BTC's critical role in diversification under minimum correlation and connectedness strategies, and GBOND dominates variance-minimizing portfolios. These findings offer practical guidance for constructing robust, adaptive portfolios under geopolitical uncertainty.
