The bulk shipping market is seasonal, cyclical and highly volatile. Due to the nonstationary and nonlinear nature of price series and the complexity of influencing factors, it is difficult to analyse the fluctuations in the bulk shipping market.Baltic dry index (BDI) has has been developed by the Baltic Exchange to reflect the overall fluctuation level of international dry bulk shipping market. Nowadays, BDI causes widespread concern by the shipping industry as well as the academic world about its characteristics and volatility. In this study, the EGARCH model was employed to analyze the leverage effect among the four kinds of BDI. The results of empirical analysis shows that all series of daily BDI rates of return have obviously leverage effects. For the Capesize and Panamax shipping markets, the leverage effects are positive, since good message on Capesize and Panamax shipping markets are greater than the bad news. For the Supramax and Handysize shipping markets, the leverage effects are negative. It indicates that effects of bad news on RBSI and RBHSI are greater than those of good news.