Definitely can. One of the major qualities of a Captain is that he has to be good at tat format. MS was brilliant in ODI - apart from tactics, he was good enough player to implement his strategy. I have found Malik to be quite good in LOs as Captain, but he was poor Test player, would have been Captain as well, if given longer terms. Two different formats, which need different type of tactics & skill set. Even for his brilliance, Arjuna wasn't that great Test captain, because his style of leadership didn't suit the format, neither he had the players.
But, that has nothing to do with Azhar - regardless of which format, he'll be big failure as Captain. It's not for his cricket skills or acumen - it's because of his personality traits. Some people performs better when in charge, some people is comfortable when guided (& protected) by others. Azhar is type 2 - he can average 75 with bat as Test opener, still he is not the type of person that should be made Captain. In 4th ODI, after few overs, he left the job of talking to his bowlers for MoHa & Amir - which doesn't give confidence.