This paper studies the informational impact of inflation targeting (IT) on financial market activity and volatility in an emerging market context by using a unique, natural policy experiment. We evaluate the impact of a hard switch to IT by India in 2015, on the information transmitted to markets by central bank policy announcements. We find that central bank monetary policy exerts a significant impact on bond market trading and yield volatility, largely reflecting new information provided by policy decisions, but without a significant change in the informational properties of monetary policy surprises after the switch to IT barring a modest increase in wait-and-watch behavior before monetary policy decision dates. Monetary policy announcements and surprises do not significantly impact equity return volatility before and after the switch to IT. Our results point to market perceptions of monetary policy being informative about future inflation, but not the future growth outlook and risks. To support this intuition, we provide evidence based on textual analysis of Reserve Bank of India (RBI) policy announcements, which shows an increase in focus on inflation but not growth.