研究航运衍生品与商品期货市场之间的溢出效应，选取我国从巴西 (C3) 和澳大利亚 (C5) 进口铁矿石的两条主要航线，以C3、C5航线远期运费协议（FFA）价格以及原油、铁矿石期货的价格数据作为研究对象，构建向量误差修正模型 (VECM) 和指数广义自回归条件异方差模型 (EGARCH)，从收益率和波动率两个方面实证分析远期运费市场与原油、铁矿石期货市场之间的联动性。研究发现：FFA市场与原油、铁矿石期货市场均存在协整关系，但不存在均值溢出效应；商品期货市场在波动性上引领FFA市场，其中，原油市场对于FFA市场的波动溢出效应更强。

In this paper, the spillover effect between shipping derivatives and commodity futures market was studied. By selecting two main routes of iron ore imported from Brazil (C3) and Australia (C5) in terms of the forward freight agreement (FFA) price of C3 and C5 routes and the price data of crude oil and iron ore futures for the research object, the vector error correction model (VECM) and exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model were constructed to empirically analyze the linkage between forward freight market and crude oil, iron ore futures market from two aspects of return and volatility. The results show that there is a cointegration relationship between FFA market and crude oil as well as iron ore futures market, but there is no mean spillover effect; commodity futures market leads FFA market in volatility, among which crude oil market has stronger volatility spillover effect on FFA market.