In a circular to market participants, the exchange said the short selling of eligible shares will commence from 2 March.
Only China securities that are included in a published list of eligible securities for short selling are eligible.
The exchange stipulated a few conditions. Short selling orders will be only in multiples of 100 shares and the price will not be lower than the most recent execution price for that particular security.
The short selling ratio, which is the number of shares sold short as a proportion of the total number of the same stock held by all investors at the beginning of the trading day, for any short selling security shall not exceed 1% on any trading day.
Launched in November, the Stock Connect, also known as the "through train", links the Hong Kong and Shanghai stock exchanges, giving offshore investors access to China's A-share market.
According to market analysts, the short selling move under the Stock Connect could boost the trading volumes.
A recent survey by the Hong Kong Investment Funds Association showed that the response to the Stock Connect among asset managers has been tepid due to technical and legal issues as well as limited access to the investment universe.
However, the same survey said a majority of fund houses in Hong Kong intend to use the Stock Connect in 2015 to access the China A-share market.
Investment managers believe that to further enhance the effectiveness of Stock Connect, it would be important to expand the investable universe. For example, adding non-index stocks, stocks listed on the Shenzhen stock exchange and fixed income instruments.
Recently, Chinese Premier Li Keqiang flagged the idea of establishing a stock trading linkage between Hong Kong and Shenzhen.
Earlier this month, the state-backed clearing house China Government Securities Depository Trust and Clearing expressed interest in setting up a "Bond Connect" scheme following the success of the Stock Connect, according to local reports.