Thats not an ideal commute. If you aer going to HKU then you want to be on the island or at most in Kowloon. Shenzen is NOT in HK, its in China. It will cost you quite a lot to keep making trips across the border.
HKU is not near an MTR station, so i would suggest looking at bus routes (citybus website is pretty comprehensive, cant remember URL tho, so google it) and choosing it that way. If you are going to be in HK your better off being near the north side of the island because thats where most stuff is.
Alternatively, you could try somewhere like aberdeen that actually still has some character...
I wouldnt recommend Halls in HK, unless youve never lived away from your parents and are looking for a similar environment...