Indonesia has established Securities Investor Protection Fund (SIPF) as protection scheme for investor in stock market to avoid fraud. The main reason is that investor protection promotes the development of equity markets as it gives confidence for investor to put their money on stock exchange. Recently, government increases the coverage value of SIPF. Using the daily data transaction in IDX and ordinary least square method, this research measures the impact of increasing coverage value of SIPF to market return and factors related. The result shows that increasing coverage value of SIPF does not have significant effect to market return. In addition, transactions which involve domestic investors have significant effect to market return. However, there is no significant effect to market return when the transaction is among foreign investors. The result also shows that exchange rate (USD/IDR) has negative significant effect to market return. Furthermore, this study also examines the effect of transaction based on investor types, exchange rate and coupon rate to market return before and after SIPF implementation. © Serials Publications Pvt. Ltd.