What possible reasons could make arbitrage impossible between some markets? What could prevent arbitrage (not necessarily risk-free) between some markets even when price differences exist?
The seminal paper in this area with over 3,000 citations is by Shleifer and Vishney:


  Textbook arbitrage in financial markets requires no capital and
  entails no risk. In reality, almost all arbitrage requires capital,
  and is typically risky. Moreover, professional arbitrage is conducted
  by a relatively small number of highly specialized investors using
  other people's capital. Such professional arbitrage has a number of
  interesting implications for security pricing, including the
  possibility that arbitrage becomes ineffective in extreme
  circumstances, when prices diverge far from fundamental values. The
  model also suggests where anomalies in financial markets are likely to
  appear, and why arbitrage fails to eliminate them.


The Limits of Arbitrage (Andrei Shleifer and Robert W. Vishny (1997)) 

There are many versions online, one of them is likely ungated.