Previous studies have extensively documented effects of macroeconomic news on the stock prices. However, the specific impact of inflation rate announcements — measured by the Consumer Price Index (CPI) — has received limited attention in financial literature, particularly in the context of the developing economies. This study aims to assess and compare semi-strong form efficiency of stock markets (banking sectors) in Finland and Poland in reaction to inflation announcements from 2015 to 2024, within the Efficient Market Hypothesis (EMH) framework. The results indicate that both the Finnish and Polish banking sectors exhibit semi-strong form efficiency in response to the monthly public release of inflation data, suggesting that it is impossible to earn abnormal returns based on these announcements.