Focus in the paper is on price transmission at Serbian dairy market. It analyzes milk price transmission for three products: pasteurized milk, white yoghurt and cheese. Those three products types participated in formal milk market with 65% of processed row milk. Monthly data are collected from three levels of milk chain: farm level, processors and retailers. Three step approach based on: intensity, asymmetry and time lags in price transmission was applied. Distinction of two market levels was made, first between farmers and processors and second among processors and retailers. Additionally price transmission from world to nationally market was examined.