<p>This paper investigates the impact of the European Union Emissions Trading System (EU ETS) policy on the relationship between the crude oil market, the crude oil maritime transportation market, and the EU’s carbon market, focusing on the period before and after the inclusion of maritime emissions in 2024. The study examines both the interactions among returns and volatility of markets. The results indicate that no significant spillover effect was observed among three markets during Phase 3 (pre-policy transition). Nevertheless, following a policy shift (Phase 4), there was a marked increase in the degree of correlation and volatility spillover. The findings highlight that EU ETS policy plays a key role in the relations among these three markets. Entering Phase 4, the crude oil market exhibits a positive link with the crude oil maritime transportation market and displays a negative relationship with the EU’s carbon market. Additionally, crude oil maritime transportation and EU’s carbon markets exhibit a two-way volatility spillover. The primary driver of fluctuations across these three markets is identified as crude oil. These results suggest that policymakers should account for the interdependencies among these markets when formulating policies. Meanwhile, maritime operators can reduce risks by using carbon futures to hedge against price fluctuations in carbon and crude oil markets, supporting sustainable development in the shipping industry.</p>