How China’s Great Bay Area Policies Affect the National Identity of Hong Kong Youth—A Study of a Quasi-Natural Experiment Based on the Difference-in-Differences Model

China’s Bay Area policies are important for integrating Hong Kong (HK) and Macao youth into China’s overall development. However, their effect on national identity is still mostly theoretical, lacking objective and scientific empirical evaluations. From a cultural adaptation perspective, interactions between social groups with different cultural backgrounds can promote cultural and political identity transformation. Therefore, guided by China’s Bay Area policies, which encourage various cross-border exchanges via economic cooperation, HK youth can keep in touch with such Mainland Chinese cultural values as “responsible government”, facilitating “political socialization”, and political–cultural adaptation, helping to promote their psychological inclusion into society, contributing to a positive attitude towards the mainland government, and achieving the policy effect of building national identity. A quasi-natural experiment based on the regional differences in the first stages of China’s Bay Area policies can help to evaluate their effects on HK youth’s national identity. This study defines the initial stage of the Bay Area policy implementation as from 2016, when the 13th Five-Year Plan advocated building the “Great Bay Area of Guangdong, Hong Kong and Macao”, to 2019, when the Outline was published. The policies issued at this stage were the so-called “early policies”. Due to data limitations, it is difficult to obtain post-2019 survey data; therefore, the study mainly focuses on the policy effects at the beginning of the Bay Area’s construction. Four groups of cross-sectional data from the World Value Survey 6 (WVS6) (2010–2014) and World Value Survey 7 (WVS7) (2017–2020), with HK and the mainland (the non-Guangdong region) included, are used to examine the policy effect under the Difference-in-Differences (DID) Model. The research shows that the policies significantly enhanced HK youth’s national identity, and their trust in the mainland government played an intermediary role in the policy effect mechanism. However, the effect was uneven, benefiting the national identities of HK youth working in the for-profit private sector more than their unemployed or public sector peers. Therefore, this research proposes several policy implications to facilitate policy decision making related to youth in China’s Bay Area.