周内效应的存在对股票市场有效性提出了重大挑战, 而目前对其异质性的研究较少. 文章建构$AR(1)-GARCH(1,1)$模型, 探究了中国不同规模指数周内效应的异质性. 结果显示, 大盘蓝筹股指数周内效应相对中小盘股票指数显著较弱, 且两者的周内效应规律也存在较大差异. 大盘蓝筹股存在``负周三''效应, 而中小盘股票存在``正周一''和``正周二''效应. 市场情绪对的中国股票市场周内效应的影响不显著,而个人投资者才是影响中小盘股票指数周内效应的主要原因. 该结论为优化投资者结构和开展投资者分类监管提供了依据.

The Day-of-the-Week effect brings a big challenge to Efficient Market Hypothesis, but there are few studies on its heterogeneity. Therefore, we constructed $AR(1)-GARCH(1,1)$ model to explore this problem based on different scale indexes. The results indicate that, the Day-of-the-Week effect of Blue-Chip Index is weaker than the Small and Medium Cap Stock Index, meanwhile, the regularity is different too. The ``Negative Wednesday'' effect is prone to the Blue-Chip Index, whereas ``Positive Monday'' effect and ``Positive Tuesday'' effect are prone to the Small-and-Mid-Cap Stock Index. The influence of market sentiment on Day-of-the-Week effect in Chinese stock market is not significant while the individual investors affect the Small-and-Mid-Cap Stock Index a lot. The conclusion provides a basis for optimizing investor structure and the investor classification in Chinese stock market.