Hong Kong police are questioning a 29-year-old British man who works for Bank of America Merrill Lynch after the grisly discovery of two female corpses, including one in a suitcase, in his apartment.

The women were found dead on the 31st floor of the residential block in the popular expatriate district of Wanchai in the early hours of Saturday morning – when many revellers were out celebrating Halloween.

Police were called to the scene where they found a naked woman with knife wounds to her neck and buttock in the living room.

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The other woman was decaying inside a suitcase on the balcony.

Police said on Sunday that a man remained in custody but had not been charged.

He works for Bank of America Merrill Lynch as a securities trader, a source familiar with the matter said.

The woman found in the living room, described by police as a foreigner aged between 25 and 30, was declared dead at the scene, with the cause thought to be a cut to her throat.

The victims are believed by police to be sex workers of Southeast Asian origin, local reports said.

One of the victims was thought to be a 25-year-old Indonesian, the government in Jakarta said, adding that its consulate in Hong Kong was co-ordinating with the police to identify her.

A resident described the smell that had been emanating from the building as “disgusting”.

“It was the smell of a dead body. Maybe the police were moving it,” said the man, who lived on the 11th floor and declined to give his name.

Police said the man they were questioning lives in the apartment and that he had been the one to call officers to the scene.