We observed three AGN from the Parkes Half-Jansky Flat-spectrum Sample at near infrared (NIR) wavelengths to search for micro-variability. In one source, the blue quasar PKS 2243–123, good evidence for NIR micro-variability was found. In the other two sources, PKS 2240–260 and PKS 2233–148, both BL Lacertae objects, no such evidence of variability was detected. We discuss the implications of these observations for the various mechanisms that have been proposed for micro-variability.