http://price.com.hk is a good start - they have iphone/android apps, but its all in Chinese...lots of pictures and the numbers are readable, so its pretty easy to get by.
The other useful source is a weekly magazine called - E-Zone, published every Thursday, which contains a list of the price of various electronic devices and components. There's also a competitor magazine called PSM. Both are in Chinese but the important lists have enough English to be useful. Most of the places will have bricks and mortar stores, so if you are in HK that is the way to go. You'll find that the stores are often very close together (often in the same mall) hence there isn't usually much difference in pricing.
All in all, the prices are usually pretty accurate - there's a lot of competition in the market so its is vital for the websites/magazines that their prices are accurately reported.
Usual shopping caveats apply - if something looks too good to be true, it probably is. Its all a matter of doing the research. There's a couple of companies who seem to specialise in mail order, so that should be your first stop. However, their prices don't seem to offer that much of a saving over buying in Europe.
Quick Check, using Nikon D500 body as a guide:
Local stores - average price ~HKD12,500 (GBP 1,282; Euro 1,507)
Local big box store ~HKD14,200 (GBP 1,457; Euro 1,711)
Local Mail Order (incl shipping) ~HKD16,315 (GBP 1,674; Euro 1967)
Amazon UK - ~HKD16,762 (GBP 1720; Euro 2021)
From this it appears that there isn't much of a saving between HK mail order and the likes of Amazon - which probably has the more applicable warranty.
I'll try and pick up a copy of E-Zone at lunch time and see what the latest prices are.
Lovin' the smell of avgas in the morning....