Originally Posted by
Pharaoh
Yes, full visa is required. But, why Shenzhen? Unless for business, there's not all that much to do tourist-wise. If just for fun, consider a day trip to Macau ... easily done on several companies' high speed ferries ... much more interesting.
If you just want to see a bit of mainland China, how about Guangzhou (formerly known as Canton)? It's a bit farther and much more interesting. Or just go to one of the small towns over the border from Kowloon.
BTW, Macau has frequent hydrofoil service from several points in Hong Kong, including the airport before you go through immigration and customs to enter Hong Kong. Or you can return from Macau to the airport and also avoid the step of entering Hong Kong. Check the rules and required time if you decide to do it this way.