This study examines the effect of changes in composition of the index on stock return and trading volumes at IDX used event study methodology. It is used to find out the market's response to inclusion or exclusion stocks of the LQ45 and MSCI indexes. The final sample consisted of 24 inclusion stocks and 22 exclusion stocks in the LQ45 index; 17 inclusion stocks and 10 exclusion stocks in the MSCI index. The result showed a significant increase (decrease) in return when a stock added to (deleted form) the LQ45 and MSCI indexes. It also obtained a significant result in trading volume from inclusion and exclusion stocks in the MSCI index, yet inclusion stocks in the LQ45 index was not. This shows that the Indonesian capital market is not fully efficient market. This research supports the sustainability of investors' investment because it can be used as recommendations of making investment decisions.