I know a few people working in HK but live in SZ.. All of them HK residents with the China Home Permit card. I guess it makes sense too especially if your salary isn't way up there. Cost of living in SZ is generally cheaper than HK. And if you want to pay cheaper rent in HK, you either live in a very small flat or live miles away, which isn't so different from living (aside from having to get off the bus to cross the border) in China and commuting back and forth. Takes mere seconds anyways and saves you hella lot of money in the long run. Besides, I reckon there's more fun to be had in SZ with all that extra money you'd be saving up!