Mo. Rev. Stat. § 416.111

In any investigation or proceeding brought to enforce the provisions of sections 416.011 to 416.161, no individual shall be permitted to refuse to answer any question material to the matter in controversy or to refuse to produce documentary material on the ground that the testimony or documentary material required of him may tend to incriminate him or subject him to a penalty; but no such person shall be subject to criminal prosecution or to any action for a criminal penalty or forfeiture on account of any transaction, matter or thing concerning which he may testify or produce documentary material.