This study conducted partial and multiple wavelet coherence analysis to investigate the impact of geopolitical risks(GPR) on the volatility of stock indices in North-East Asian countries, namely South Korea, Japan, and China. We employed the GPR and Korea GPR indices to assess these risks. The empirical findings reveal (i) a strong interdependence between the GPR and the volatility of the three stock markets in the short term; (ii) the stock markets of South Korea and Japan have more co-movement with the GPR, rather than the KGPR; and (iii) the GPR index and volatility have a time dependent relationship.