Unlike in equity markets, strong short-term momentum, instead of short-term reversal, is observed in commodity futures markets. Moreover, while long-term momentum in commodity futures markets is strongly correlated with momentum in the U.S. equity market, short-term momentum does not share any common momentum factor with the equity market. We set forth the hypothesis that liquidity provision of speculators may account for the short-term momentum in commodity futures markets, and provide the following empirical evidence for it. First, speculators are momentum traders while hedgers are contrarian in the short-run, both unwinding their positions after a few weeks. Second, liquidity supply factors predict short-term momentum returns, and the short-term momentum is stronger in nearby contracts than distant contracts.