**5. Conclusions**

In this paper, we first use the buy-and-hold strategy to confirm the existence of value premium in China's stock market. We then use a technical analysis tool, the moving average indicator, to conduct trade on the decile BM portfolios. The results sugges<sup>t</sup> that technical analysis is workable and has superior performance compared to the buy-and-hold strategy. Next we construct a zero-cost trading strategy by longing the high BM portfolio and shorting the low BM portfolio at the same time using the moving average indicator and find a much higher average excess return. Using the CAPM, FF3F, and LIQ4F models, the returns of our strategy are still positive and significant. In addition, the profits

remain positive and significant after tests are conducted using different lag length moving average indicators and considering transaction costs.

Robustness tests are essential in our study. We discover that non-tradable share reforms and business cycles do not affect the predictability of technical analysis, and market-timing ability cannot explain it either. Finally, we conduct tests in the period in which short-selling is allowed and find that significant positive profits still exist in the subsample.

This study makes an initial attempt to unveil the profitability of combined trading strategies in China's stock market. Extensions of our combined strategies would include other technical analysis, such as candlestick analysis and relative strength index, and firm characteristics, such as size and liquidity. Another direct extension would be to identify more drivers of profitability by investigating more macroeconomic and risk factors, such as investment and profitability.

**Author Contributions:** K.S.K.L. contributed key research ideas, reviewed important literature in related areas and advised on revisions of this paper; L.D. designed data analysis and conducted writing of this paper, B.Y. collected the important data and performed data analysis.

**Funding:** This research was funded by the Research Committee of University of Macau gran<sup>t</sup> number MYRG2018-00155-FBA.

**Conflicts of Interest:** The authors declare no conflict of interest.
