This study examines trading activity for gold futures contracts in twelve countries. For severe lack of liquidity, we assess nine gold futures markets as dysfunctional markets. In the regression analysis, which factors significantly affect gold futures trades are examined. The regression is performed for liquid markets in three countries: COMEX, US; SFE, China; and TOCOM, Japan. In the result, the demand for speculation on gold is shown as a common factor to boost gold futures trades in all markets. The hedge demand for the dollar depreciation motivates investors only in SFE, and exchange rate risk has a mere impact on trades in this market. In the other hand, exchange rate risk discourages investors in TOCOM to trades gold futures. The investigation focused on exchange rate risk shows that the bigger the variance of gold futures return due to the variation of exchange rate is, the more reluctant investors are to trade gold futures during the period with high volatile exchange rate. Thus, we conclude that success of a gold futures market is up to the extent of exposure to exchange rate risk as well as the intensity of demands for speculation or hedge.