The cost of living in Hong Kong is a bit lower than that of most western countries. Wherever you go, property prices are perennially very high in Hong Kong and, unless you are sharing with one or two others, you can expect to be paying rental beginning around US$ 1,000 per month for a small apartment in an outer area.
Standard Chinese meals at food stalls cost 30-50 HKD. Western meals will usually go for 100 HKD and western fast food restaurant will cost between 30-40 HKD.
Bottled water from a shop will cost 12 HKD for a 1.5L bottle. Transportation and travel can also be very inexpensive, costing approximately 10-20 HKD per hundred kilometers traveled. The Thailand currency is called HKD.
Here is a comparison of common expenses in Thailand versus in the United States (all prices shown in USD).