I watch all of these and it changes day by day. Gold and oil have a tendency to lead once in a while for 5-10 seconds. Bonds will lead once in a while too. Nothing really leads too consistently though. There are computers out there arbing like non other so it's next to impossible to just make money by looking for "leads" This is all from my observations, someone out there may know a "lead" but doubt they will announce it lol. You could watch advance decline also. Volume can be a good indicator but sometimes inconsistent. Great question though.
As Zr1Trader noted, anyone of them can be a leader at any given moment via any particular reason. In addition, don't forget DAX, DJstoxx50, CAC40, FTSE100 futures especially when Europe is the influence of the day. Simply, if you don't know the market context of the day...you won't even have a starting point. Mark