SHANGHAI—A Chinese central banker warned that online brokerages not licensed in China are acting illegally if they serve Chinese clients via the Internet, sending New York-listed shares of Futu Holdings Ltd and UP Fintech Holding sharply lower. “Cross-border online brokerages are driving in China without a driver’s license. They’re conducting illegal financial activities,” Sun Tianqi, head of the Financial Stability Department of the People’s Bank of China (PBOC), said in a speech, according to a transcript released on Wednesday. Futu and UP Fintech shares slumped more than 20 percent in premarket trade on Thursday on Sun’s remarks, the first official comments following recent media reports flagging regulatory risks facing online brokers. Shares of the two firms had already tumbled since Oct. 14, when the official People’s Daily said in an analysis on its website that Futu and UP Fintech face regulatory risks as China’s new personal data privacy law takes …