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WHY can be used as an interjection, something you might say at the beginning of the sentence when you are surprised, shocked, or angry, often with overtones of disagreement or protest.

"Why, don't be silly!"

If you meet an old friend of yours, whom you never expected to meet in town, you can express your surprise by saying:

"Why, it's Jim!" (How is it possible?)

This use of why is purely idiomatic; it really doesn’t involve why as the prelude to a question, and there's no way to trace the logic, if any, of this use. It doesn't make sense, but many usages in English don't.

A: "Do you know him?" B: "Why, yes! We know him quite well."

Sometimes it is used as a mere expletive or to add emphasis to a response.

A: "You think so?" B: "Why, yes."

It can also express hesitation, approval, disapproval, disagreement, impatience, indignation, etc.

"Why, I believe I’d add a bit of sugar to the tea."

It can also work as a verbal pause: a word to say while you are figuring out what your sentence will be.

"Well...let me see...I wonder...hmm...why, yes! I think you are right!" 

This usage is somewhat old-fashioned and sounds more American than British to many users. 

"It does sound quaint and old-fashioned in BrE."

You don't tend to hear it on American TV programs or in modern Hollywood movies all that much. 

"In AmE, it has - to me - a sort of southern-belle Golden Girls air to it."

You also don't hear young people say it except in a lighthearted or frivolous way, perhaps when they are mimicking someone who does say it. 

"I associate it with upper-class female speech, especially in the South."

It is still used occasionally, generally humorously. In particular someone might jokingly say something like "Why, thank you good sir" in imitation of eighteenth century manners.

"I think it's certainly used more often in old movies and fiction than in real life."

It can be also used half-jokingly to express modesty, but also surprise at the compliment given.

A: "You're quite good, actually." B: "Why, thank you." 

According to the OED, the use of why as an interjection dates back to the 16th century. First it was just a question expressing doubt reduced to its essence. This developed through rhetorical question into a mere interjection of surprise. 

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