With the continuous progress of RMB internationalization, the RMB spot exchange markets between the offshore and onshore have begun with the mean or volatility interaction. This mechanism of information flows suggests as follows. The mean and volatility spillover effects exist between the two markets, particular the mean spillover effect is instable and the volatility spillover effect is stable. The direction and function of information flows are changed by the internal factor, but the effect of external shock is relatively limited. The mean spillover effect is driven by the market with further appreciation, whereas the volatility spillover effect is led by onshore market with policy expectations. Good news will reduce the volatility of the offshore market, but increase the volatility of the onshore market.