I'm with BrownRedHawk in that 2 part epoxy would be good for this job in a general sense.
It bonds really well to all sorts of materials however there are a number of prerequisites that would hinder good adhesion. You want maximum surface area contact. So the items will need to be cleaned of debris and loose components (like smaller rock fragments or shell shards).
Rocks are going to be contoured and shells have a variety of shapes. Not only that but 2 part epoxy (and many other glues known for strength) need time to cure or set in order to get a sustaining bond. Pressure is required and clamps or weight perform that duty.
So make sure everything is clean and you have a way to put pressure on the glue joint so that it does not move while it is setting. I cannot offer specific advice beyond that since rocks and shells, like I said before, are full of variety.
If you wanted something to go on I would build up walls of books, or other items of similar height, beside the object you're gluing so you would not have to try and balance weight on top.
I always found hot glue, like the ones found in less specialized craft stores, to be temporary when crafting so I usually reserve it to kids crafts. That is my opinion however and I am sure there are varying degrees of quality when it comes to hot glues.