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.