This paper examines the return transmission, volatility spillovers, dynamic correlations, and financial risks among oil futures and oil and gas sector equity returns of the US, Canada, Australia, and Russia by applying our new vector autoregressive (VAR) dynamic conditional correlation (DCC) multivariate exponential generalized autoregressive conditional heteroscedasticity (MEGARCH) model incorporating asymmetric spillovers and skew-t errors. We employ bivariate models for oil futures and oil and gas sector equity returns and a four-variate model for oil and gas sector equity returns. Our results reveal mostly unidirectional return transmission between oil futures and oil equities, unidirectional and bidirectional volatility spillovers between oil futures and oil equities, and mostly bidirectional volatility spillovers among oil equities. Interpreting our results from an informational efficiency perspective suggests that US and Canadian oil equities are more informationally efficient than Australian or Russian oil equities, and that oil futures are not always the most informationally efficient. Our results also indicate that downside risk is important in considering volatility spillovers because they are always associated with the well-known leverage effect. Using the conditional variances and covariances from our new model, we further compute more precise time-varying optimal hedge ratios and portfolio weights, and these suggest that hedging equities with oil is more effective than vice versa. This indicates the importance of the hedging function of oil on the back of globalizing and financializing energy markets.