It all depends on what you want to buy. Hong Kong is a nexus of shopping malls filled with chain-stores as well as local bargains. It's convenient, easy to navigate and fun. Shenzhen offers the gritty side of China, you can get good knock-offs and prices *can* be cheaper than in HK. However, if you are after genuine products, HK can't be beaten.
For example, H&M in China and HK has the same numerical value but the difference in exchange rate means it's around 20% cheaper to buy in HK than in China. about 5 years ago
As to Shopping, I'm afraid Hong Kong is better than Shenzhen, even many people in Shenzhen prefer to go to Hong Kong for shopping, clothes, electronic products, and daily necessities.
Shenzhen has some interesting places for travelers, such as the Happy Valley, OCT. East, Splendid China & Chinese Folk Cultural Village, Window of the World etc. Dongmen Pedestrian Street is also a must-go if you come to Shenzhen, have fun! over 4 years ago