The 28-year-old Dutch-born player, whose previous clubs include PSV Eindhoven and Galatasaray, was due to join up with his new team mates after Monday's league game at Swansea City, Watford said on their website (www.watfordfc.com).
Sky Sports television reported the Hornets had activated a six million pound ($8.54 million) release clause in his Malaga contract.
"He has the qualities of the players we like," said manager Quique Sanchez Flores. "He can play at number 10, he holds the ball, he can turn quickly with the strength of a striker and escape the defensive line.
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"He can also play as a winger because he has that pace and velocity, the power that adds to the options of a team."
($1 = 0.7022 pounds)
(Reporting by Alan Baldwin, editing by Pritha Sarkar)
