In yesterday's Sydney Morning Herald, they quoted an AFP piece saying :
" Short-stop visas that were available for some nationalities, including Australians, at the border with the southern Chinese manufacturing hub of Guangdong province, had also been stopped, Bending added.
The border city of Shenzhen is a popular day trip destination for Hong Kong residents looking for shopping bargains."
China bans multi-entry visas until after Games - News - Travel - smh.com.au
In yesterday's Voice of America, they wrote:
"In addition to the ban on multiple-entry visas, travelers can no longer obtain short-stay visas at Hong Kong's border with neighboring Shenzhen."
VOA News - Foreigners in Hong Kong Denied Multi-Entry Visas for China
So if I understand right, they are saying visas issued at the Shenzen borders have been stopped?