This paper examines both short-run and long-run dynamics of return, volatility, liquidity and liquidity risk of returns on the Stock Exchange of Thailand (SET) index and USD/THB over the period of 1 January 1996 to 31 December 2011 to evaluate the effect of the Thai 2006 "coup d'états" and its interim military and civilian governments on financial markets. Heterogeneous reactions in the currency and stock markets in both short-run and long-run analyses are detected. The immediate reaction to the coup is more evident in the stock market with a reduction in stock return, a short-lived spike in return volatility and volume with an immediate reversal, and a drop in liquidity risk. However, the long-run impact is stronger in the currency market, where we find an increase in bid-ask spread but a drop in liquidity risk. Finally, the Coup reduces liquidity risk in the stock market in the long-run.