I dont know the level of your Chinese, so I choose to answer your questions in English. 1. As I have known, a Japanese passport can visit China(include Hong Kong and Macau) without visa. You can stay in China mainland for 15 days. If you wanna stay longer, you can go to Hong Kong and come back, then you have another 15 days. 2. Bus isn't a wise choice when travelling in China because of the long time and uncomfortableness. 3. If you choose T-train(特快), it will take you about 19 hours and ￥200-600(depend on the seat or bed you choose) to Shenzhen. If you choose G-train(高铁), you should change the train in Wuhan, it approximately takes you 10 hours from Shanghai to Shenzhen with about ￥600. Then you can go to Hong Kong from Shenzhen(it is convenient and fast). 4. Even train is a better choice than bus, I recommend you to travel via airplane. It is cheap and fast, the management is OK too. 5. I dont know Macau's situation. Hong Kong is safe at night. And there are thousands of tourists from mainland enjoy the vesperal scenery there. From my perspective, the security is not a problem in Hong Kong and Macau, but the money is.