I've looked at the Australian, UK and HK markets. My conclusion was that is was just too expensive. 1. Brokerage/exchange fees/taxes are too high. 2. Limited liquidity means wider bid/ask spreads.
I'm based in Singapore and day trade futures for a living so I can give some background on Asia For futures I trade the sgx nikkei, timsci (MSCI Taiwan), simsci (MSCI Singapore), nifty (the main India index), kospi, and spi future. All of these are very cheap. For stocks I do not recommend day trading because in HK you will need to pay stamp duty on top of commissions (10bps each way for stamp, adds up fast), and fat tick sizes (in HK and Singapore, vast majority of stocks are trading below 10 dollars with a tick size of 0.01, you will be too slow to queue and always pay bid/offer to enter/exit positions). But actually, because the stocks are so expensive to trade, you will often see interesting moves in the futures since the transaction costs to carry out index arb are so high. Commissions on futures are quite cheap, for instance on IB it is 300 yen/side for SGX Nikkei. There are T+1 (post-cash close) futures on nearly all Asian indices. These can also be quite interesting as there are some correlation and volatility reversions that happen because they get dragged up and down by ES and Eurostoxx.
HSI Futures Mini HSI Futures (MHI) HK and China Affliated Stocks The transaction cost is higher but the volatility is also higher.