This paper addresses the changing correlations between the returns of Australian and Emerging equity markets and provides the results of the tests for volatility, a factor that may cause the correlations to change over time. Correlations are estimated using the Dynamic Conditional Correlation Model, a specific class of multivariate GARCH models which allows correlations to vary over time. Linear regression analysis is used to test if the volatilities of individual markets or the relative volatility of the markets may cause the changes in correlations over time. Based on Boyer, Gibson and Loretan (1999) and Loretan and English (2000) findings that when the movements of random variables are more volatile, sample correlations between these variables should increase even if the principal processes generating the variables remain unaffected.A formal proof of this was developed in Boyer, Gibson and Loretan (1999). We test for the volatility of emerging equity market and the ratio of the emerging market volatility to Australian market volatility. We find the correlations between Australia and emerging market pairs change over time and the variation in correlations is found to be influenced by the volatility of the emerging market stock index returns and/or the ratio of emerging market volatility to the Australian market volatility. This relationship is stronger in some country pairs and very weak in others.