Given the importance of the relationship between oil and liner shipping markets, this paper examines the volatility spillover and connectedness between oil and liner shipping markets. We employ dynamic conditional equicorrelations and spillover index approach to know volatility co-movement and spillover between oil prices and returns of liner shipping stocks, respectively. The volatility co-movement between oil and liner shipping companies’ stock returns increased during the 2007–09 global financial crisis, and 2010–12 Eurozone debt crisis. We extend our analysis by considering portfolio diversification strategies and utility gains across pre-crisis, crisis, and post-crisis periods. Our findings are useful to policymakers and investors.

考虑到石油和班轮运输市场之间关系的重要性，本文研究了石油和班轮运输市场之间的波动性溢出和联系。我们采用动态条件等相关和溢出指数方法来分别了解油价和班轮运输股收益之间的波动性联动和溢出。在2007–09年全球金融危机和2010–12欧元区债务危机期间，石油公司和班轮运输公司的股票收益之间的波动性联动增加了。我们通过考虑在危机前，危机和危机后时期的投资组合多元化战略和效用收益来扩展我们的分析。我们的发现对决策者和投资者很有用。