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I am considering work in New Zealand but the financial year will be partly split between the two countries. Do I need to file an income tax return in both countries?
Depends how long you'll be resident in NZ for. Less than 183 days? Then no, you won't necessarily be tax resident. You'll need to declare your NZ income (and pay tax) in Australia, but New Zealand won't be fussed.
It all depends on your tax residency