The process capability index (PCI) has been introduced as a tool to aid in the assessment of process performance and most of the traditional PCIs performed well when process follows the normal behavior. In this article, we consider a PCI, 𝑝𝑚 for normal random variables. The objective of this article is five fold: First, six different methods of estimation of the PCI 𝑝𝑚 are addressed from frequentist approaches and compare them in terms of their mean squared errors using extensive numerical simulations. Second, we compare three bootstrap confidence intervals (BCIs) of the PCI 𝑝𝑚 including standard bootstrap, percentile bootstrap, and bias-corrected percentile bootstrap. Third, Bayesian estimation is considered under four loss functions (symmetric as well as asymmetric) using normal prior for location parameter and inverse gamma prior for the scale parameter for the considered model. Also, we obtain highest posterior density (HPD) credible intervals of the PCI 𝑝𝑚 . Fourth, a new cost effective PCI, namely, 𝑝𝑚𝑐 is introduced by incorporating tolerance cost function in the index 𝑝𝑚 . Fifth, the power of the test is obtained, and Monte Carlo simulation study has been carried out to compare the performances of the classical BCIs and HPD credible intervals of PCIs 𝑝𝑚 and 𝑝𝑚𝑐 in terms of average widths and coverage probabilities. Finally, two real data sets have been analyzed for illustrative purposes.