Markets with higher prices almost always have a reason for it.
Low trade volume, large delays in cashing out (weeks to even over a month), caps on how much you can cash out per day/month, etc.
Some exchanges also impose fees on cashing out (1-2%).

With such large delays in between reinvestments, there's also a chance that bitcoins could go up or down 20%+.
Meaning a lot of missed chances at potential huge profits that you would've had otherwise.

As quoted, arbitrage is like picking up nickels in front of steamrollers. You can make some small profits, but there's a chance you'll be crushed.