In this study , the presence of winner -1 oser effect in Istanbul Stock Exchange is investigated. Tests are done for the period of January .1988 - December 1992. Past performance is used to form the " Winner " and "Loser" portfolios pri or to the lest period. Duration for past performance measure ments change from 1 month to 48 months.Test periods change from 3 months to 36 months. The results show that, in the first month of the test period, loser portfolio outperforms the winner p o r t f o l i o . This ef f ect is e m p h a s i z e d if the first mont h of the lest period is January. The above results carry similarities with the empirical results obtained from slock markets of USA and Japan.