Dynamics of the co-movement between stock and maritime markets

► There exist significant information spillovers between stock and maritime markets. ► The conditional correlation between DJIA and BDI is bi-directional. ► The previous monthly changes in Baltic Dry Index help to explain the changes in DJI. ► The previous weekly changes in DJI help to explain changes in the Baltic Dry Index. ► The time charter rates in shipping would be included in capital asset pricing models.