There have been large periods where the degree of shadiness on certain bitcoin exchanges has led to large, and persistent price discrepancies. For example, during the huge bull run of late 2013, there was a large and consistent price premium for bitcoins on MtGox. The reason was that MtGox was not processing USD withdrawals in a timely way, but was processing bitcoin withdrawals. If you had tried to arbitrage the price on MtGox vs. Bitstamp or BTC-e, you would have found your money tied up in 3 week limbo while the withdrawal was processing.
There have been large periods where the degree of shadiness on certain bitcoin exchanges has led to large, and persistent price discrepancies. For example, during the huge bull run of late 2013, there was a large and consistent price premium for bitcoins on MtGox. The reason was that MtGox was not processing USD withdrawals in a timely way, but was processing bitcoin withdrawals. If you had tried to arbitrage the price on MtGox vs. Bitstamp or BTC-e, you would have found your money tied up in 3 week limbo while the withdrawal was processing.