This study examines the spillovers between risk premia and returns of commodity (grain, metal, and energy sectors) and equity markets (the U.S., U.K., Germany, and Japan). Risk premia are defined as the difference between implied volatility, skewness, and kurtosis and their realized moments. Our results show that cross-market and cross-moment spillovers vary over time, and various announcements explain this variation. We uncover the substantial effects of equity markets for commodity markets, and as those of returns for the risk premia. Moreover, we highlight the prominent influence of the metal sector for the other commodity sectors and equity market, and that of skewness risk premia for the returns.

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