CHAPEL HILL, N.C. (MarketWatch) — If you want to know whether lower oil prices are benefitting the economy, take a look at the Dow Jones Transportation Average DJT, -1.04% .

The picture isn’t pretty.

Consider what’s happened over the five weeks since I last devoted a column to the Dow Transports, the oldest stock market index in widespread use today. (The Dow Industrials DJIA, -0.87% are the second-oldest.)

Since then, oil prices have dropped 20%. If cheaper oil were a net positive for the economy, one of the first places you’d expect to see it show up is the transportation sector. Yet it hasn’t: Over this same five-week period, the Dow Transports have fallen nearly 2%.

The Transports’ surprisingly poor performance is worrisome for at least two reasons. The first is that the Transports are a leading indicator of economic downturns.

The transportation sector’s track record as a leading indicator was documented several years ago by the Bureau of Transportation Statistics in the U.S. Department of Transportation, titled “The Freight Transportation Services Index as a Leading Economic Indicator.” The study found that the department’s index over the past three decades “led slowdowns in the economy by an average of four to five months.”

Unfortunately, we don’t know where the Freight Transportation Services index currently stands, since it is reported with a significant time lag. The latest data, for example, are for November. But it is significantly correlated with the Dow Jones Transportation Average, so that average’s weakness is definitely worrying.

The other reason the Transports’ weakness is ominous: It is one of the two stock market averages that are the focus of the Dow Theory, the oldest stock market timing system in widespread use today. The other average, of course, is the Dow Industrials.

To be sure, not all Dow Theorists agree on the hurdles over which the two Dow averages must jump before the Dow Theory would issue a “sell” signal. But suffice it to say that the further they retreat from their highs, the further the market gets from confirming that the bull market is still alive — and the closer it gets to signaling that a bear market has begun.

As of Tuesday’s close of trading, the Dow Industrials were 4% below its all-time high, and the Transports were 4.1% below a record.

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