We examine whether China’s growing importance to Australia as both a trade partner and engine of growth has been accompanied by financial market interdependence. We consider effects on the overall Australian market as well as the iron ore sector, which has been accounting for over half of Australia’s exports to China in the years since the global financial crisis. Markov-switching analysis yields evidence of the Shanghai Composite being connected not only with the Australian iron ore sector but also the broad market Australian All Ordinaries index. These ties are found to be significant only during low volatility periods, however.