is it possible to transit from HK to Shenzen without applying visa for Hongkong?

I want to go to Shenzhen, but the airfares for Hongkong is much cheaper. I have visa for China only and i don't want to apply visa for Honglong. so i wanna ask if it's possible for me to fly to hongkong and take it as my transit stop only, then buy the ticket for Paravion or anything means to go to Shenzhen?