In a massive intervention designed to deter speculators, the Hong Kong Monetary Authority (HKMA) bought Hang Seng index stocks over the period August 14 to August 28, 1998. Our objective is to document the impact of intervention and determine whether the relative price changes in Hang Seng stocks are a result of information effects or due to liquidity-based price pressure effects from intervention. An equally weighted portfolio of Hang Seng stocks provides an abnormal return of approximately

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... nty-four percent during the intervention period. The abnormal returns are not reversed over the next eight weeks, refuting the hypothesis that returns are due to temporary liquidity effects. Using daily data on Hang Seng stocks and individual stock intervention amounts, we find evidence consistent with information effects. Evidence from dual class shares also suggests that abnormal returns are due to a credible signal of an implicit put option granted by the government to holders of Hang Seng stocks.