Analisis Pengaruh Eksposur Ekonomi Dan Faktor-Faktor Yang Mempengaruhinya Pada Perusahaan Sektor Barang Konsumsi Yang Go Public Di Bursa Efek Jakarta

This research to analyzed economic exposure factors ( Exchange rate, Composite Stock Price Indeks and Inflation) to represent a stock price exchange as one of economic exposure indicators with used ARCH GARCH method, with term of period from 2002 until 2006 (five year). This object research focused to four cigarette companies were listed at Indonesian Stock Exchange which are PT BAT Indonesia, Tbk., PT Gudang Garam, Tbk., PT Bentoel International Investama, Tbk., and PT HM Sampoerna, Tbk. From this research show up that the factors which influences economic exposure ( Exchange rate, Composite Stock Price Indek~ and Inflation) have significant impact to represent a stock price exchange from the companies