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We analyze whether and how the trading activity of different trader types impacts the rate of convergence between spot and futures markets for a broad range of commodity futures markets over the 1999–2014 period. There is strong evidence that speculators (commodity index traders) increase (reduce) the rate of convergence between spot and futures markets. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:930–938, 2017

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This study examines the predictive power of trading activity for returns in precious metals futures markets. Based on a Markov switching model, two market regimes are distinguished: "bull" markets that are characterized by rising prices and a low return volatility and "bear" markets that are associated with negative mean returns and a high return variability. There is robust evidence of significant Granger-causal effects from trading activity to returns in "bull" and "bear" markets that are not detected by models without regime switching. Moreover, the relationship between trading activity and subsequent returns is often asymmetric in different market regimes.