The strong periodicity and frequent fluctuation of freight price bring huge risks to the shipping market. However, the risks can be forecasted and avoided effectively by studying the volatility spillover effects between shipping market and other markets. Based on the daily frequency data of shipping market and steel market, this paper uses DCC-GARCH model and DY spillover index model to analyze the dynamic correlation and volatility spillover effects between the two markets. The results show that there is a time-varying correlation between the shipping market and the steel market. When the shipping index lags one week, there will be a weak correlation between the two markets. Meanwhile, the volatility spillover effect between the two markets is weak, and the price transmission mechanism of this system is discontinuous.