This study fills an important gap in the research literature to examine the mean and volatility spillover effects between the U.S. oil, overall U.S. stocks markets and the U.S. energy pipeline market by studying the linkages between the West Texas Intermediate (WTI), Dow Jones Industrial Average Index (DJIA), S&P 500 stock index (SP500) and the Dow Jones U.S. Pipeline Indices (DJUSPL). We are particularly interested in the impact of the liquidity crisis in the financial market on the volatility spillovers. Results indicate that both WTI and DJIA/SP500 have statistically significant volatility spillover effect on DJUSPL. In addition, the volatility transmission from the U.S. oil and overall stock markets to the U.S. energy pipeline market increased since the 2007-2008 financial crisis started. Furthermore, the raising illiquidity in the U.S. financial market is associated with the statistically significant increase in the volatility transmission between the markets. Furthermore, we examine the new cross-hedging strategy involving DJUSPL to manage the risk on the oil market and the both in-sample and out-of-sample performances of the hedging strategy are more effective than the oil-stock hedging strategy proposed by previous scholars (Basher & Sadorsky, 2016; Salisu & Oloko, 2015). Our results will assist policy makers and investors on planning energy, diversifying portfolio and managing energy risk.