Why Is a High-Volume Exchange’s Price More Representative in a VWAP Calculation?

A high-volume exchange's price is considered more representative because it reflects a larger number of transactions and greater market depth, indicating stronger consensus on the asset's value. A price derived from significant trading activity is less susceptible to manipulation or temporary, localized illiquidity compared to a price from a low-volume exchange, where a single large order could disproportionately move the market.