Russia–Ukraine War and Bitcoin Volatility Dynamics

In this paper, we examine the Bitcoin price and volatility responses to the Russia-Ukraine war. Our findings suggest that the attention on the war leads to decreased Bitcoin returns and increased Bitcoin realized volatility, jump volatility, and continuous volatility. In contrast, the attention surrounding the sanctions against Russia, particularly those involving the SWIFT system, positively impacts the Bitcoin market by increasing its price and reducing jump volatility. These results support the notion that Bitcoin serves as an alternative system for cross-border transactions, suggesting that the SWIFT sanctions against Russian financial institutions are perceived as beneficial for Bitcoin.