It's up to the software how to handle this efficiently, but most just load the entire book because a) books usually are not that long so it's not a problem and b) the entire book has to be loaded once so page numbers can be calculated so "jump to page x" will work.
To my knowledge there is no way to split up epub contents further, so for example there is no "box set" option to put an entire trilogy into a single epub file. Of course you can do it anyway but the entire trilogy will then be treated as single book.
So you'd have to split your book in parts and make separate epub files for them.
The only other option I can think of is to optimize the HTML source - if the text is exported from Word/OpenOffice it tends to be way overstyled, and you can reduce both size and complexity of the document by removing unnecessary HTML/CSS elements. But it takes a lot of work to do that and it will not have that much of an impact.
If you want to give this a try, convert your book to plain text and then back to epub and see if it is any faster than before...
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