Abstract: RMB exchange rate reformation has been deepening over the past decade. During this RMB internationalization process, one of the most important research issues is how the price relationship has been developing among the onshore spot market, onshore forward market, offshore spot market, offshore forward market and non-deliverable forward market. Based on the co-integration, vector error correction (VEC) model and information share (IS) model, price discovery mechanism among these five markets of seven periods was studied. The result shows that non-deliverable forward (NDF) market has greater price discovery ability before the emergence of the offshore market. However, as the result of easing policies and the development of the offshore market, the centrality of market price information is gradually transferred from the non-deliverable forward market to the offshore market. It is expected that the offshore market will play the main role in the price discovery mechanism.