What is the best way to rank well in two countries simultaneously with only one CCTLD
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I have a .co.nz website and would like to rank on .com.au without setting up a new country specific website for .com.au. What is the best way to do this ?
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Make sure to associate your website with the targeted locations in any possible ways:
- besides optimizing your site for the targeted keywords, make sure to also include "Australia" and other geographical hints on your page.
- get local websites and local bloggers to link to you.
- if your website is promoting a local business, make sure to also register it on Google+ Places

These are just a few starting points...
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In GWT you are only allowed to associate your website with one country.
The first question is: should you associate your website with one country if you want to target two countries?
If you have a primary traget and a secondary one, that may be a good idea, otherwise, I would let the .co.nz do the job for NZ and try to get links from an Australian neighborhood, which means associating your website with other web properties clearly linked to Australia (content, domain, links they have...).
Hope that helps
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Xnumrtik pointed out a very important aspect here. Associating your website in GWT with one country will definitely boost your rankings in that country, but it will have no effect on your SERPs in another country.