Not with a
single button, but I do it with two presses. I use the "All Bookmarks" page to switch between books, but you have to train yourself to set a bookmark when you stop reading.
You can access the "All Bookmarks" page by holding down the "Mark" button for 5 seconds.
But if the "All Bookmarks" page is the last menu you accessed (such as if you went to a book by selecting a bookmark
from the "All Bookmarks" page), you can access it by single clicking the "Menu" button.
I.E. I'm in book A, and want to switch to book B (assuming I have a bookmark already set in book B!): I set a bookmark in A (so I can get back to it later), click on the Menu button (or hold down the Mark button for 5 seconds if I wasn't at the Bookmarks page last), then select a bookmark from book B.
This kinda requires a bit of self-training to work well: you have to remember to set and un-set bookmarks as you go. Set them so you can find your way back with this method, and unset them so the Bookmarks page doesn't get all cluttered up.
I hope that helps, and that it's clear enough to follow.