This is nothing but mis-pricing of security, in theory of efficient market hypothesis EMH by Eugene Fama, an asset price incorporate all the available information and will be trading at fair value.

In reality, we are not part of perfect market, most of the markets worldwide are semi-strong efficient. What it means is, the new information takes a while to get reflected in the price. whereas in perfect market (strong form of efficiency) stock price reflects as soon as some information is made available.

To link this to your question, it may happen that the investors in different stock exchanges may be not aware of the exact information leading to different pricing of same security in two different markets.

It may also happen that as the prices of a security is derived from actual transactions, availability of buyer and seller also be a reason. A higher liquid market absorbs the information faster than relatively illiquid market.
Happy Investing!!!