The former strategy pertains to bets on Chinese companies listed on both the Shanghai and Hong Kong Stock Exchanges. The trade involves buying A-shares that are discounted to their dual-listed H-share counterparts, or vice-versa. A-shares are listed in Shanghai and H-shares in Hong Kong.
"Across sectors there are still significant differences between A-share and H-share prices," said Steven Sun, head of China Equity Strategy at HSBC.
Hong Kong-listed H-shares that could catch up with their A-share peers include Chinese airlines, railway and power equipment manufacturers and commodity firms, Sun said. H-share airlines, for example, are trading at a 25 percent discount to their A-share counterparts, according to HSBC.
Read MoreShanghai-HK Connect to launch on November 17
The "scarcity" trade, meanwhile, involves picking stocks or sectors that are only available either in the Shanghai or Hong Kong market.
"Mainland Chinese investors will have access to over 200 pure Hong Kong stocks for the first time, with a total market cap of over $2 trillion," said Sun.
In Hong Kong, technology firms such as Tencent and Lenovo may benefit, in addition to gaming names such as Sands China and Galaxy Entertainment, and financials including AIA and People's Insurance Company of China (PICC), notes HSBC.
Read MoreA new way to get in on Chinese stocks
With the through-train scheme is expected to boost turnover in Hong Kong by 38 percent by 2015, according to BNP Paribas, some analysts recommend investing in companies that will benefit from increased volume of trades.
Deutsche Bank says Hong Kong Exchanges and Clearing (HKEx), CITIC securities and Haitong Securities, are good trades when employing this strategy.
Bigger things to come?
The integration of China's domestic A-share market and the Hong Kong stock market is big step that could eventually result in creating one of the world's largest stock markets, say analysts.
Read MoreWhy this market is escaping the global selloff
Currently, the scheme is limited to Shanghai, but many analysts anticipate it will extend to China's other stock exchange -- the Shenzhen bourse -- in a couple of years.
If that materializes, the combined market cap of all three exchanges would be worth over $7 trillion with an annual turnover of more than $9 trillion, according to HSBC, resulting in the world's second-largest equity market after the New York Stock Exchange.