I'm sorry if this post isn't particularly useful to anyone, but I do recall that a while back someone posted asking for Lolita shops in Hong Kong.
Well, a few months ago, I managed to stumble upon a Lolita store, not in Hong Kong exactly, but in Shanghai, China, called Westmend.
According to the employees there, Westmend's a small Lolita brand located in China but with a Japanese designer. It has three or four shops around Shanghai.
The website is http://www.westmend.com
I don't know if the shop ships internationally and to be honest, I haven't gotten much of the site to load on my computer. When the catalog does load, the images for the clothing doesn't.
I bought a coat and a petticoat at the shop, and the quality does seem to be pretty good.
The coat was about 980RMB, equaling around $126. If any of you do manage to order from the site or are in Shanghai anytime, I think buying from there'll save quite a bit of money, since the type of coat I bought probably would have cost at least $200 elsewhere.
I hope that bit of info is useful. I've been lurker for some time now, so I thought I'd post.