1 Media and Price Creation in Abu Dhabi Security Exchange Sebastian Majewski, Ph.D. Kesra Nermend, Ph.D. Salam Al-Augby, PhD. Student Abstract This paper presents the effect of news on Abu Dhabi Security Exchange (ADX) for the 64 days and 40 trading days throughout November and December of 2011. Using classical methods the correlation and regression were measured. Results show that GNI and BNI indices have affected theoretical predictions and significant improvement over previous efforts by pervious researcher in this domain. The work presented here has profound implications for future studies of UAE’s stock markets behavior. Keywords: - News, Behavioral finance, Stock Market, Abu Dhabi, Islamic Banking Introduction Behavioral finance, which is finance seen from a broader social science perspective including psychology and sociology, is now one of the most vital research programs and it stands in sharp contradiction to many efficient markets theories (Shiller, From Efficient Markets Theory to Behavioral Finance, Winter 2003). This paper uses data from the United Arab Emirates (UAE), the Middle Eastern Federation of seven states, and a member of the Gulf Cooperation Council (GCC) as a study case of the effect of news on the prediction of Abu Dhabi Securities Exchange (ADX). Each of the seven Emirates of the UAE retains control of its own natural resources and directs its own commercial activity. Formed in 1971 as a coalition of sheikhdoms, and relying primarily on revenue from oil and gas, in the last few years the UAE has expanded its economy significantly through trade and finance, has been active in seeking commercial partnerships and is currently experiencing a high level of business optimism and strong revenue growth (Irvine, 2008). Three years after the debt crisis rocked global markets in 2009 the UAE has emerged as a safe haven in a troubled region, reaping the benefits of building strong service and tourism sectors. But the Gulf emirates, which have so far succeeded in restructuring its mountain of debt of Dubai, could face tougher conditions if they seek refinancing in a sick international market, while a global drop in demand could harm its core sector, analysts say. While it is an Islamic country, Islamic banking has not dominated the UAE (Irvine, 2008) , with Islamic banks’ share of total UAE commercial bank assets at just 11.1% in 2004 (Al-