This isn't done, as evidenced by the very different prices on each exchange. It's considered unwise to keep bitcoins on the exchange, and certain exchanges have

This isn't done, as evidenced by the very different prices on each exchange. It's considered unwise to keep bitcoins on the exchange, and certain exchanges have a 'trustworthiness' premium that they charge. Presumably there's not enough capital willing to take this risk to move the markets. People might start taking advantage of the futures market to go short btc, so exchange exposure is only limited to the time it takes to immediately move coin off exchange. Time will tell if that allows enough capital to arb the difference.