Index modulation emits information through the index of the activated component of a vector signal as well as the value of the activated component. Indexing could occur across antennas, subcarriers, or other degrees of freedom. When index modulation is applied to antennas, it is known as spatial modulation. Earlier bounds or estimates for the spectral efficiency of spatial modulation have been too loose for determining the parameters of coding and modulation, which are important in practice. Furthermore, the best bounds formerly available did not effectively elucidate the relationship of spatial modulation capacity with SIMO and MIMO capacity at low- and high-SNR. The present work develops novel, tighter bounds on the spectral efficiency of spatial modulation. Specifically, for a 4 × 2 antenna configuration at 8 bits/slHz, our results are 2dB tighter than the best bounds available in the literature.