Abstract: Speculation in commodity market is an important indicator that affects the prices of the commodities. Speculation is known as the purchase of a good for resale, or for temporary sale of a good with the purpose of repurchasing it later by hoping that earning profit from an interceding price change. Normally, excessive speculation in commodity market pushes up the prices and speculation create more fluctuations in prices. In this background, the studies focus on trend of speculation in gold future returns and also assess the short – run relationship between Gold futures returns and Speculative ratio. The data have been obtained from the MCX website. The statistical and econometric tools, such as, descriptive statistics, OLS Regression Model and Granger causality tests have been applied to analyze the data. The result of the study reveals that, time trend affects the speculation and there is no short run relationship between Gold futures returns and Gold Speculative ratio. Hence, it is proved that speculation is independent of futures price.