Visa free travel possible between Shenzhen-Hong Kong-Shenzhen?

We are a couple from EU and will travel to Shenzhen by plane and will also leave Shenzhen by plane two nights later. Is it possible to travel to Hong Kong at least for a day trip or even to stay there for one or two nights under the visa-free regulation of Shenzhen? Hong Kong is generally visa-free for EU-citizens if I understood it right.

Thank you for any advice!