Hong Kong has been battered by almost seven months of unrest - its biggest political crisis in decades -which has seen millions come out on the streets demanding greater democratic freedoms.
The demonstrators in Sheung Shui vented their anger at so-called "parallel traders" from China who buy vast amounts of duty free goods in Hong Kong and take them back to the mainland to sell at a profit.
Some black-clad protesters held up signs that read "SARS", an apparent reference to a mysterious infectious disease that may have been brought to Hong Kong from the central Chinese city of Wuhan, where at least 44 people have been infected.
Communications between Beijing and Hong Kong are conducted through the Liason Office.
Matthew Connors was denied entry into Hong Kong on Thursday night. What started as opposition to an extradition bill in June has since evolved into a movement calling for more democratic rights and further autonomy from mainland China.
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Earlier in the day, in a separated incident, police fired tear gas to disperse a group of protesters hurling petrol bombs over the fence of the Sheung Shui police station before the march, damaging one police vehicle.
Besides calling for Lam's resignation, the protestors are demanding an independent probe into the use of force by police, amnesty for arrested protesters, a halt to categorising the protests as riots and the implementation of universal suffrage to elect their own representatives to govern the province.
Lam's administration proposed a bill past year that would have allowed extraditions to China for the first time, prompting the protests.
Luxury brands in Hong Kong have been relying heavily on a large influx of mainland Chinese tourists, which, on the other hand, has been a problem that local residents have complained about for years. China's government has consistently backed Lam, including on a mid-December visit to Beijing where she met Chinese President Xi Jinping.
However, it has also become a centre of pro-democracy protests where the protesters have burnt the Chinese flag.