Withdrawal of which hormone is the immediate cause of menstruation?

Menstrual cycle is regulated by LH, FSH, estrogen and progesterone.

Progesterone helps in regulating the cycle. It makes the uterus ready for pregnancy. After ovulation, when corpus luteum forms, it secretes a large amount of progesterone. In the absence of fertilisation, corpus luteum starts to degenerate and gets converted into corpus albicans, which cannot secrete progesterone. 

As a result, the progesterone level drops down. Due to the lack of progesterone, the overgrown endometrium now begins to break, causing bleeding. This is how the menstruation cycle begins.