MORE competition in between the airports. MORE opportunity for the the airlines to profit off of convenience. Convenience is the biggest factor in getting a good price or not.
Taxes and fees flying from Shanghai to Shenzhen are 200rmb (more if over 800KM). Shanghai to Hong Kong are $355HKD.
Cheapest ticket to Shenzhen is ~400 rmb. Cheapest ticket to Hong Kong is around 700 rmb. Cheapest ticket to Shenzhen is plentiful. To Hong Kong is not so.