This thesis seeks to explore the dynamics between China’s onshore spot foreign exchange market and the offshore RMB non-deliverable forward (NDF) market before and after the reforms in exchange rate regime and foreign exchange market structures around July 21, 2005. Developments in the two markets are reviewed and daily closing rates of both markets are examined. The Johansen co-integration test finds a strong co-integrating relationship between the onshore spot rate and the NDF rate and a two-way Granger causality is detected. An augmented GARCH formulation is employed to model the inter-market mean and volatility spillover effects. Evidence of strong mean spillover effects in both directions is observed but no significant volatility spillover is identified.