Using a global sample of high-frequency data, this study investigates how liquidity shocks affect intraday price movements. We find a negative association between liquidity shocks and price impact. This finding remains robust after considering the exogeneity of liquidity shocks, using alternative windows to measure liquidity shocks, and controlling for volume shocks and volatility shocks. Additional tests show that the documented relationship stems from idiosyncratic shocks and sell-order shocks. Moreover, we reveal that liquidity shocks are likely to be driven by uninformed traders. Eventually, our evidence suggests that the market requires 30 minutes to accomplish price adjustments when meeting liquidity shocks.