Different exchanges have their own internal markets, and the price of Bitcoin in the exchanges depend on the buyers and the sellers in the exchange, so the prices fluctuate a lot.  However, users can buy and sell between multiple exchange sites so that they can buy at the lowest and sell at the highest.

Thats why it is an advantage to trade at multiple sites to get these benefits, however, bear in mind the trading fees and the withdrawal fees, so unless you are trading at a large volume, it is still not worth it.