Once an employment visa has been granted, it is specific to a specific employer/sponsor. Accordingly, the Hong Kong administration does not allow you to shift employment to another company without authorization.
If you need to change jobs, you are required to write an application for change of employment to the immigration department.
The immigration officials will review the application and allow or deny you the opportunity to shift to a different company. If the change is approved, you are required to surrender the old employment visa and pick a new one to use at the new company.