Document Type

Article

Publication Date

1-1-2026

Abstract

This study investigates how major agricultural commodities interact with diversified U.S. equity funds, sorted by their environmental, social, and governance (ESG) risk exposure. Using daily Morningstar data on 880 U.S. equity mutual funds, we construct portfolios representing high- and low-ESG-risk equities and examine their linkages with prices for eight agricultural commodities. Applying Fourier-augmented Toda–Yamamoto VAR and LM-GARCH models that accommodate both abrupt and gradual structural breaks, we document clear heterogeneity across ESG risk segments. Low-ESG-risk portfolios exhibit minimal price and volatility spillovers from agricultural commodities, whereas high-ESG-risk portfolios display strong and often bidirectional transmissions—particularly for coffee, corn, cotton, livestock, and soybeans. These findings highlight ESG risk exposure as a key dimension shaping commodity–equity integration and provide new evidence on how sustainability-related risks influence equity market vulnerability to commodity shocks.

Comments

MDPI originally published this article.

Creative Commons License

Creative Commons Attribution 4.0 International License
This work is licensed under a Creative Commons Attribution 4.0 International License.

Download

Included in

Finance Commons

Share

COinS