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From Managed Adjustment to Market Reform? Weak-Form Efficiency in Uzbekistan's Stock Index and Official USD/UZS Rate

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  • Alisherov, Foziljon
  • Djuraeva, Mukhayyo

Abstract

This study tests several implications of weak-form market efficiency for the Uzbekistan Composite Index (UCI) and the official USD/UZS exchange rate. Corrected daily samples contain 2,389 UCI returns from 30 August 2016 to 4 May 2026 and 4,865 FX returns from 2 January 2013 to 5 May 2026. Weekly levels use the last available observation in Friday-ending weeks. The analysis combines descriptive and microstructure indicators, selected autocorrelations, Ljung-Box tests, sign runs tests, robust Lo-MacKinlay variance-ratio tests, unit-root checks, a 5 September 2017 reform split, a precisely defined no-jump robustness sample, and rolling windows. UCI evidence is mixed: robust variance-ratio tests fail to reject a random-walk null at all reported daily and weekly horizons, while the daily runs test and longer-lag Ljung-Box tests reject their distinct randomness nulls; weekly aggregation removes the runs-test rejection but not all serial dependence. Full-sample FX autocorrelations are small, yet runs and selected variance-ratio tests reject non-random adjustment. Pre-reform official-rate changes show pronounced dependence. Post-reform linear autocorrelation is weak when the liberalisation jump is included, but short-horizon dependence remains after that single return is excluded. The results support a partial, test-dependent, frequency-dependent, reform-dependent, and time-varying interpretation. They do not establish profitable trading strategies, and the FX findings describe official exchange-rate adjustment rather than a continuously traded, freely clearing FX market.

Suggested Citation

  • Alisherov, Foziljon & Djuraeva, Mukhayyo, 2026. "From Managed Adjustment to Market Reform? Weak-Form Efficiency in Uzbekistan's Stock Index and Official USD/UZS Rate," EconStor Preprints 342597, ZBW - Leibniz Information Centre for Economics.
    • Handle: RePEc:zbw:esprep:342597
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    References listed on IDEAS

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    1. Francesco Guidi & Rakesh Gupta & Suneel Maheshwari, 2011. "Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 10(3), pages 337-389, December.
    2. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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