The commonest bat in Hong Kong is Japanese Pipistrelle, and really is as small as you describe (about 5cm or 2"). This is probably the secies you saw. Species like this weigh less than 5g (much less than just about any bird in HK) It always amazes me how tiny bats are! One of the other bat species in Hong Kong (Lesser Yellow Bat) is even smaller, and is one of the smallest mammals in the world.
As subbuteo mentions, listening with a bat detector really opens up a new world at night. Despite being tiny, bats are incredibly loud - but you normally can't hear them because the calls are too high-pitched for human ears. The squeaks you've heard before from roosting bats are used for communication, but they also make continuous high-pitched noises for finding their way when flying at night.
