Sustainability indices are generally created to serve as a benchmark for sustainable investment. In all markets, but particularly in emerging markets, these indices can also contribute to stimulate responsible practices in companies that want to be part of the index and those that are already members. Furthermore, they can contribute to the deepening of the capital markets, not only by serving as a benchmark, but also by developing interest in responsible investment on the part of foreign and domestic institutional investors. To play these roles, the admission, selection and removal process of companies into sustainability indices must have particular characteristics. For example, there should be a relatively large stock of eligible companies. Furthermore, the investment environment in the capital markets must also be relatively developed for investors to appreciate the long-term value of responsible companies and analysts must have the right incentives to promote responsible investments. Under certain conditions, the indices can also help to attract foreign capital, seeking international diversification, to the local capital markets. Even though there are more than 50 general and specialized sustainability indices, there are only seven associated with stock exchanges in developing countries: South Africa, Brazil, Egypt, Indonesia, China, India, Turkey and Mexico. This study analyses the conditions that make for effective sustainability indices in promoting capital market development and responsible practices and the impacts that corporations and investors can expect. This study includes, as an example, evidence from an evaluation of the impact of the BM&FBovespa Sustainability Index in Brazil. We also include recommendations for the design of sustainability indices in emerging markets.