The effect of index reconstitution on stock return and volume have been one of the controversial subjects in finance. Although, there are several researches, which are analyzing the domestic stock market index effect on stocks, a few studies focused on the effects of an international index. By the use of event study methodology, this paper analyzes the price effect of changes in constituents of two MSCI indexes (Standard Index and Small Cap Index) for Turkish companies as of announcement and effective dates. Overall, there are four analyses; namely, addition to Small Cap Index with respect to announcement (effective) day, deletion from Small Cap Index with respect to announcement (effective) day, addition to Standard Index with respect to announcement (effective) day, and deletion from Standard Index with respect to announcement (effective) day. The findings of the study present that index effect appears or disappears, resting upon the index, on which index reconstitution is being analyzed. Moreover, existence of the index effect is also subject to event day definition, which may be either announcement date or effective date of the index event. Significant index effect strongly exists for the additions to MSCI Standard Index around announcement date, while deletions have significant, but weaker, effect around the effective date. No significant index effect has been found for deletions around announcement date. Index effect is also documented around announcement and effective dates for MSCI Small Cap Index additions; however, such effect is quite stronger for deletions from MSCI Small Cap Index around the announcement dates.