I moved from NYC to HK too few years back and find cost of living in HK much cheaper in all regards:
- restaurant are cheaper
- housing is somewhat about the same, depend on where you want to live of course
- taxes are lower here
- partially free healthcare and much better system than in US.
I don't have any COLA here find really difficult to find an employer willing to offer that nowadays. My average salary is around 30% more than in NYC, All is included in the salary, up to me to do with what I have. If it is a reloc and you have kids, you really need to ask for school fees allowance. That is the biggest difference I find with NYC, international school are really expensive and can really blow your budget. I know that I will leave HK in the next 4 years just for that reason... spending around 20K (school fees, transportation, books, etc..) a month just for school is a real bummer.
good luck with your nego and welcome in hk.