"If you are an HK resident you don't pay capital gains tax on anything anywhere in the world....."
Not strictly true. For example, if you have real estate in Japan and you sell for a gain, you will likely have a requirement to pay CGT in Japan (though HK will have no interest in that CG, as you say)
Trading fees are quite high in HK since you have the 0.1% stamp duty on each trade so that’s in&out on the total whether it’s a loss or gain so that’s a form of a tax right there, plus the banks usually charge a percent commission on trades vs a flat fee.
Trading US stocks from many HK brokerages offer $0 trades so that’s another option.
The HK blue chips are solid stock plays paying dividends, for example you can consider HSBC, CLP, Swire, and even Cathay. Swire has been a solid stock during Covid with its dividends and special dividends probably one of my better investments. HSBC as well but purchased that around the low when dividends were suspended. CLP has dropped but does pay a dividend, and Cathay bought around the low as well and waiting that one out with a current solid profit. Another stable stock is Bank of China with a good dividend and Sinopec is also a good one, bought around the low but should have sold around the high as it’s come down quite a bit recently, all in addition to paying a high dividend.
I did buy China stocks and I’d say that is mostly a mistake on my end, so those are dirt cheap right now but I’d probably stay away from them. My good China plays were BYD and CNOOC, other than that it’s pretty bad from my portfolio’s perspective.