The behavioural analysis of the stocks returns of the companies engaged in shipping industry is considered to be a great challenge, taking into account the highly international nature of the industry & the complex, volatile & perfectly competitive environment in which it operates. Volatility is the main characteristic not only in respect of the industry but also from the point of the stock returns, since as we will see in detail through the relevant study, shipping companies profits are positive correlated to the “upwards and downfalls” of freight rates. In this sample test, it selected all Greek shipping companies listed in the US Stock Exchange Markets (21) and a number of the largest foreign ones (8). The reason for targeting on Greek companies, was to highlight the significant market share that Greece owns worldwide in relevant industry, since the Greek owned fleet remains the first in the world. The sample period ran from 1 January 2002 to 31 December 2008.