Going to Hong Kong from Shenzen for Malaysian

HI,

im from Malaysia and my flight to China will be to Shen Zhen, i planning to go straight to Hong Kong on the same date. and my flight home to Kuala Lumpur is from Hong Kong. we will be staying there for 6 days 5 night.. can I know do i need visa for both places? and when i`m crossing from Shen Zhen to Hong Kong, does I need any entry permit? or any documentation?