AUDJPY used to be a very good indicator of ‘intermarket correlation’. It clearly tracked Asian stock market indices such as Hang Seng Index, Singapore Index Futures (SiMSCI) and MSCI Emerging Markets Index (EEM). The positive correlation could be due to 2 dynamics:
AUD tends to do well when Asian economies like China are doing well (think of Australian exports of iron ore, other commodities)
JPY tended to strengthen due to repatriation when its stock market i.e. Nikkei 225 is not doing well (which also tracks Asian indices).
At the moment AUDJPY has diverged from Hang Seng Index and EEM; a convergence of the three requires 1) strengthening AUDJPY or 2) deflating HSI and EEM.