This study attempts to analyse the speed at which information gets incorporated into the various stock indices in India. Four alternate speed estimators viz., the AR (1) model, the ARMA (1, 1) model, the ARMA (1, X) model, and the cross-covariance estimator were calculated to estimate the rate at which information is adjusted. The lead–lag relationships between indices with varied characteristics were also analysed. It was observed that the Sensex and the Nifty indices, the constituents of which are large capitalisation stocks, led the smaller indices till 2009. This was disturbed in 2010 and 2011, especially by bank indices.