Hong Kong has a similar system in the CBD area, but instead of going underground. They built foot bridges.

https://en.wikipedia.org/wiki/Central_Elevated_Walkway

Foot bridges make more sense in Hong Kong where the city pretty quickly goes up a mountainside, so the elevation changes to an elevated system are something you would have to do anyways on the street at some point.

In Tsim Sha Shui we have a lot of undergrounds too! I would love that it would be more full of shops like the ones in Seoul for example.