Nkuru, Faith N.Muathe, Stephen M. A.Simiyu, Eddie2019-10-042019-10-042019IOSR Journal of Economics and Finance Vol. 10, Issue 3 Ser. III (May. – June 2019), PP 73-832321-59332321-5925http://ir-library.ku.ac.ke/handle/123456789/19744Research ArticleThis paper provides an empirical analysis of Kenya as an emerging market that has a lot of potential of investment and is getting attention from investors both locally and internationally. Nairobi Securities Exchange 20 Share index represents a tool to measure market performance, market growth and facilitates maximisation of return on investment over a long – run perspective. The Nairobi Securities Exchange 20 Share index is constituted by the best performing firms. This paper analysed the effect of firms' inclusion in the Nairobi Securities Exchange 20 share index on share performance in Kenya. The study was anchored on Efficient Market Hypothesis supported by The Price Pressure Hypothesis and Traditional Information Hypothesis. The study employed explanatory research design. Target population of the study was 30 firms included in the Nairobi Securities Exchange 20 share index in the period between 2002 and 2014. The study used secondary data, collected from Nairobi Securities Exchange 20 share index markets report. The secondary data was collected using abstraction tool. The data which was obtained was analyzed using descriptive statistics, Buy and Hold event methodology. This study found out Average Cumulative Buy and Hold Abnormal Share Return after the firm inclusion in the Nairobi Securities Exchange 20 share index was significantly different from zero. The study recommends investors should invest in firms included in the Nairobi Securities Exchange 20 share index.enShare PerformanceNSE20 Share IndexFirms InclusionArticle