International financial markets through 150 years: Evaluating stylized facts

In the theory of financial markets, a stylized fact is a qualitative summary of a pattern in financial market data that is observed across multiple assets, asset classes and time horizons. In this article, we test a set of eleven stylized facts proposed in econophysics context for financial market data. Our main contribution is to consider a broad range of geographical regions across Asia, continental Europe, and the US over a time period of 150 years for a monthly time scale, as well as two of the most traded cryptocurrencies, thus providing insights into the robustness and generalizability of commonly known stylized facts. The significance of revisiting the stylized facts in this form is twofold; first to check the validity of the universality claim suggested by previous well-known studies that could be used for the verification of theoretical econophysics models, and second apart from the universality aspect is to have a solid summary features as a reliable replicable set for any data driven simulation or black box models, independent of theoretical considerations. In this study we could majorly confirm the statistical detection of the proposed universal features.