This paper studies the informational properties of inflation targeting (IT) in terms of financial market activity and particularly on market 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 the markets by central bank policy announcements. Our findings indicate that central bank monetary policy announcements exert a significant impact on bond market trading and yield volatility, largely reflecting new information provided by policy decisions. However, we find no 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. Additionally, monetary policy announcements and surprises fail to significantly impact equity return volatility either before or after the switch to IT. Our results point to market perceptions of monetary policy being informative about future inflation, but not the future growth or outlook. To summarize, the switch to IT has not yet led to a significant change in the transmission of the information contained in the monetary policy announcements.