It's highly illegal and can send you to jail for a year. See below.
But getting the AFCD to take action may be another matter, though they seem eager to enforce the laws relating to keeping pigs.
http://www.afcd.gov.hk/english/conservation/con_fau/con_fau_local/con_fau_local.html#birds
"In order to protect the invaluable treasure of the local wildlife and their habitats, the Government has enacted the 'Wild Animals Protection Ordinance (Cap. 170)' in 1976 to make provision for the conservation of wild animals, and for purposes connected therewith."
Wild Animals Protection Ordinance
Section:4 Hunting, etc. of protected wild animals prohibited
No person shall, except in accordance with a special permit, hunt or wilfully disturb any protected wild animal.
Section:5 Protection of nests and eggs
No person shall, except in accordance with a special permit, take, remove, injure, destroy or wilfully disturb a nest or egg of any protected wild animal.
Section:8 Possession of protected wild animals
(1) No person shall, except in accordance with a special permit, have in his possession or under his control- (Amended 77 of 1996 s. 6)
(a) any live protected wild animal taken in Hong Kong;
Section:18 Offences and penalty
... in the case of a contravention of section 4, 5, 8 or 9, shall be liable on conviction to a fine at level 6 and to imprisonment for 1 Year;
What kinds of wild animals are protected?
Wild animals specified in 'Schedule 2' of the Wild Animals Protection Ordinance are protected by law. Any person who contravenes the regulations of the Ordinance shall be liable on conviction to a maximum fine of HK$100,000 and to imprisonment for 1 year.
Schedule: 2 PROTECTED WILD ANIMALS
... Aves, all species of all genera, all families and all orders. All wild birds.
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Agriculture, Fisheries and Conservation Department contacts