As this is posted on Rotorheads I assume that you wish to obtain a CPL for helicopters. I shall continue on that assumption.
Firstly, Hong Kong does not yet have a training facility for CPL (H) unless you join the Government Flying Service.
The Aviation Club at Sung Wong Toi Road, (2760 0633 or clubmanager@hkaviation club.com.hk) trains to PPL(H) level on Robinson R22 helicopters. The cost of joining the club is typical of a Hong Kong club, HK$50,000 or HK$30,000 if you use a Platinum Master Card. Hourly rates are HK$2,500 which is more than the USA, a bit more than Australia but less than the UK or Europe.
Constraints are that training is mostly carried out weekends only at Sek Kong, the PLA base in the New Territories. The PLA will not allow the club to fly during the week, so the weekend flying slots fill up. Add in the variable nature of the Hong Kong weather and the low visibilty pollution and the time to PPL can take several months. But good quality PPL(H)'s are being produced there at a regular rate.
Now comes the CPL. The licensing office of the Hong Kong CAD say that you cannot hold a Hong Kong CPL(H) unless you are employed by a Hong Kong helicopter company. I believe that they are the only authority in the world that demands such a strange constraint. Even China allows professional progression to a CPL if you want to. This means that to get a CPL you need to go out of the country.
Australia is popular, as the licence is well respected around the world and the flying down there is awesome, but Malaysia and the UK have also been used. The USA is unpopular right now because of the hassles with visas for flight training, which although being available can lead you to unpleasant interviews for hours with immigration on arrival, and the possibility of being deported because of some very minor paperwork problem.
With your respected ICAO CPL(H) licence in your hand you return to Hong Kong to get a Hong Kong licence issued on its basis, and you hit the same problem again- you must be employed by a Hong Kong company. The few helicopter companies in Hong Kong require experienced pilots, so a low time guy will be unlikely to get a look in.
There are pushes to improve the system, to allow Hong Kong pilots to progress to CPL level simply for the professional advancement but it will take a while.
PM me if you need to know more.