International Journal of Economics, Commerce and Management United Kingdom Vol. V, Issue 10, October 2017 Licensed under Creative Common Page 161 http://ijecm.co.uk/ ISSN 2348 0386 AN ASSESSMENT OF THE EFFECTS OF NAIROBI SECURITIES EXCHANGE (NSE) 20 SHARE INDEX REVIEW ON MARKET SHARE PERFORMANCE OF DELETED STOCKS IN KENYA Charles Otieno Ndede MBA (Finance), Kisii University Kenya charlesndede@yahoo.com Andrew Nyang’au Kisii University, Kenya Yobes Benjamin Nyaboga Kisii University, Kenya Abstract The NSE 20 share index is reviewed periodically to ensure that it reflects an accurate picture of market performance. The aim of the study was to assess the effects of NSE 20 share index review on Market Share Performance of Deleted Stocks in Kenya. The specific objectives that guided the study were to: determine the effects Announcement Review on market share performance of deleted stocks in Kenya, establish the effects of Action Review on market share performance of deleted stocks in Kenya and evaluate the effects of review information contents on market share performance of deleted stocks in Kenya. The target population of was 18 stocks deleted from NSE20 share index from 1994 to 2014. The study used census sampling. Secondary data were obtained from NSE for the entire event analysis period and analyzed with the aid of SPSS. Study used Pearson correlation, Ordinary Least Square Regression (OLS) and market model to estimate the abnormal returns. Test for hypothesis was done using t-test statistic. The study found that, on average, within the review period, the mean market return performance was positive 0.20% compared to AAR for deleted stock of negative 0.58%, indicating that, in the short run, investors of deleted stock recorded a total reduction in return of 0.78%; during review action window, AAR were positive but declining before action but reverted