The cheapest airline flying to Shenzhen is AirAsia. They are 31% cheaper than China Southern Airlines. (Average prices, based on 222 datapoints.)
At Shenzhen the most flights depart around 13:00. (Hourly flights, based on 257 datapoints.)
From Shenzhen it is on average the cheapest to fly to Kuala Lumpur and to Singapore. (Average prices, based on 95 datapoints.)