The most important factor affecting both defense expenditures and the defense industry sector in a country is geopolitical risks. In recent years, there has been an increase in geopolitical risks as a result of conflicts, terrorist attacks, etc., which has significantly affected the production and profitability of the defense industry sector in many countries. In this context, the study aims to determine the relationship between the increase in geopolitical risks and the increase in the returns of the defense industry sector in time dimension. For this purpose, the relationship between the increase in the global geopolitical risk index and the increase in defense industry sector index returns of 4 regions (World, America, Europe, Asia Pacific) and 10 countries (USA, Germany, Czechia, China, France, India, UK, Israel, Italy, Romania) between 1/05/2000 and 12/13/2023 has been analyzed with both traditional and Breitung and Caldelon (2006) frequency causality tests. The results show both that the increase in geopolitical risk is an important determinant of defense industry sector returns and that the relationship between the increase in geopolitical risks and the increase in defense industry sector returns changes over time. Another important finding of the study is that the returns of the global, US and European regions and the US defense industry sector react to the increase in global geopolitical risk in a very short time.  These results provide useful information on portfolio timing for investors who invest in defense industry stocks in both regional and international portfolios.