[Pedant]Not strictly true - immigration to a place generally entails emigration from another place. In the OP's case, s/he would
- immigrate to Hong Kong from Australia
or
- emigrate from Australia to Hong Kong.
If the new place of residence is clear from the context (say, when standing in line at Immigration Tower in Wanchai), it is acceptable to drop that part of the clause and just state where one is immigrating from.
[/Pedant]