Intraday Information and Volatility Linkages in the FX market Sirimon Treepongkaruna School of Finance and Applied Statistics, Australian National University Abstract This paper examines the intraday information and volatility linkages across seven FX markets, namely the USD/DEM, USD/JPY, AUD/USD, USD/IDR, USD/PHP, USD/SGD, and USD/THB. Specifically, we use GMM to estimate a stochastic volatility model representation of a simple model of speculative trading that predicts strong volatility linkages in these seven FX markets due to common information, which simultaneously affects expectations across markets, and information spillover caused by cross market hedging. When comparing to the traditional correlation measure, our results indicate stronger volatility linkages across almost every hour and all FX markets examined. JEL Classification: G12, G14. Keywords: Stochastic volatility, Common information, Volatility spillover, Market lingkages, FX market. This Version: 5 April 2005 * Corresponding address: School of Finance and Applied Statistics, Australian National University, Canberra, ACT 0200 Australia. Phone: +61-2-6125 3471 Fax: +61-2-6125 0087, sirimon.treepongkaruna@anu.edu.au . I am deeply grateful to Philip Gray, Stephen Gray, and Tom Smith for invaluable comments. Thanks also go to Ponladesh Poomimars for providing data. I would also like to acknowledge financial support from 2004 AFAANZ grant and ANU internal research grant.