If we are discussing which one is worse, I'd find it hard to say: Violence is more of a creative problem in the sense that so many AAA games made nowadays are so violent that it becomes a bit boring, and also silly.
Case in point: Assassin's Creed, the counter technique allows you to kill 100+ soldiers incredibly easy, and there is barely any in game punishment for doing so, as if the game encourages these sort of juvenile power fantasies.
Before any of you decide to pounce on me as if I am some sort of "think of the children" moral guardian, I mean that violence has saturised our medium from a creative perspective: nothing interesting is done about amongst the AAAs, so the connection between gameplay and story becomes weaker for it. The few times we do get something interesting done about the over-abundance of violence in games, we get some true gems like Call of Duty 4's nuke scene and the entirety of Spec Ops The Line.
Sexism however, is a lot more subtle, and it is more of a perspective problem, and what I choose to think is a symptom of lazy writing in games. Often, the big games have very little focus given to the actual writing, and thus we end up with incredibly revealing and backwards presentations of women.
That, however, can cause problems for the younger demographics. I won't mince words: teenagers(<18) do play games like CoD and Assassin's Creed etc. and they are likely the driving force behind the sales. They are a considerable demographic right now, and I feel that they can misinterpret games very easily. Since they are also mostly male teenagers, it can lead to real problems in their perception towards women.
For example(I know its bad practice to use anectodal evidence, but I feel it is somewhat relevant, and I won't extrapolate), in my old secondary school, a lot of the guys there played the sorts of games I mentioned: CoD, Fifa, etc.They had very negative perceptions towards women,(I think I remember one instance where they casually asked a girl if she would give them a blowjob out of nowhere) in part, it could be due to other factors(such as general insecurity), but it does show that they were easily influenced by possible factors at home, or "adult entertainment".
In that particular case, it can show that they can be easily influenced because they lack critical thinking or a guiding hand, no one there to tell them that what happens in "those videos" is not representative of real life, and is just a fantasy. Whilst the example isn't as related to games, I still feel that there is a possibility that lazy writing which results in sexist depictions of women can be problematic.
I cannot say if it will result in real-world misogyny, but it is something that can worry me.
Ideally, the solution to these problems would be to avoid lazy writing, but that is too simplistic a solution, and I am afraid that I cannot think of an immediately plausible one.