HONG KONG—The group behind the annual Tiananmen Square memorial vigil in Hong Kong said Sunday it will not cooperate with police conducting a national security investigation into the group’s activities, calling it an abuse of power. Police notified the Hong Kong Alliance in Support of Patriotic Democratic Movements of China last month that it was under investigation for working for foreign interests, an accusation the group denied. “This is a really bad precedent of the national security [police] abusing the power by arbitrarily labeling any civil organization as a foreign agent,” Chow Han Tung, vice chairwoman of the alliance, said at a news conference called to address the police investigation. “The alliance strongly denies that we are any foreign agents,” Chow said. “We are an organization that was founded during the 1989 democratic movement, it was founded by the Hong Kong people.” The investigation is part of a broad suppression …