Also, won't the "major exchange" probably have to buy a decent supply of Dash for liquidity purchases? They won't likely start with an empty order book, will they?
An exchange should only be a 3rd party for transactions. If they become "invested" in a coin, then they'll be accused of manipulation if the coin rises or falls dramatically.
What I think will happen is the algorithms (aka bots) will quickly come in and arbitrage any price differences when a new exchange opens up.