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.