Hong Kong Human Rights monitor director Law Yuk-kai said the government should confirm a newspaper report that Ms Bona Mugabe is studying at the University of Hong Kong, and if it is accurate, examine her finances.
"If the money she is spending was siphoned off the ordinary people, there is a problem," Ms Law said. "Just like other members of the international community, Hong Kong should do its part in imposing sanctions."
The United States and European Union have imposed sanctions on Mr Mugabe's ruling clique, including asset freezes and travel bans. Australia has also banned the children of members of Mr Mugabe's administration from studying there.
The South China Morning Post reported on Sunday the 20-year-old daughter of the Zimbabwean President is enrolled under an alias, but gave no more details.
The University of Hong Kong's media manager didn't immediately respond to a reporter's email seeking comment. Ms Bona didn't immediately respond to a message sent to her on the social networking website Facebook.
Mr Mugabe, 84, has ruled Zimbabwe since its independence from Britain in 1980. He has been accused of overseeing the country's economic collapse, which has led to a cholera outbreak that has killed at least 2,773 and left millions of Zimbabweans dependent on international food aid.
The Hong Kong government said in a statement Sunday it had no comment.
A freelance photographer for the British newspaper the Sunday Times said last week that Mr Mugabe's wife, Grace, repeatedly hit him in the face when he tried to take pictures of her outside a luxury hotel in Hong Kong on January 15. â€â€AP