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.
Your point is true, but unrelated to mine. I was talking about price manipulation and arbitrage in a scenario where there is no delay on withdraws/deposits.
To put it another way, if price manipulation is happening, you typically won't notice a price discrepancy. The reason is because of arbitrage. Since price discrepancies are lucrative, people will use arbitrage to take advantage (and hence eliminate) any price discrepancy. The end result is that the price was manipulated across all exchanges, even though only one exchange is being shady.
You're starting from the assumption that the manipulator will be effectual.
It is reasonable to expect that arbitrage will tend to make manipulation harder. The basic goal of arbitrage is to recognize open bids that are 'wrong' according to some estimate of the broader market, and to then act on the profitable ones. So in the presence of arbitrage, the manipulative bids that are against the market will quickly disappear.
If a large segment of the market is simply fraudulent, all bets are off. Fraud may well be a better description of what was going on at Mt. Gox than price manipulation (for instance, it isn't really simple price manipulation if their stated customer (dollar) account balances were 10x greater than the paper currency that had ever been deposited).
Theoretically, the market should "price in" the risk at different exchanges.
If I can sell a bitcoin for $200 on a perfectly stable exchange, or for $202 on an exchange where there's a 1% risk I will get nothing, then by switching from the stable exchange to the risky exchange there's a 99% chance of +2 and a 1% chance of -200, for an expected benefit of 0.992+0.01-200=-0.02 so it wouldn't make sense to use the risky exchange. The exchange with a 1% risk would have to offer a price of at least $202.02 for it to make sense to switch to them.
Of course, knowing the relative chances different exchanges will collapse is the hard part!
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.