During the“14th five-year plan” period, financial services were actively integrated into the new business forms of e-commerce development, in which financial investment vigorously promoted the efficient allocation of capital elements, so as to construct a service system suitable for the development of e-commerce, it is not only an important opportunity to meet the needs of the digital economy and expand its own development space, but also provides strong support for the high-quality development of e-commerce. Momentum strategy is a classical Behavioral finance investment strategy. Securities liquidity is the key factor affecting the return of momentum strategy. Based on this, this paper studies the impact of securities liquidity on momentum investment strategy returns by using empirical analysis. we find that the impact of securities liquidity on portfolio returns is different with the change of investors' holding period, and the momentum winner portfolio and loser portfolio returns are asymmetric under the influence of liquidity. The results of this study not only provide alternative paths for the practitioners to choose more effective momentum investment strategies, but also facilitate the deep integration of e-commerce and financial services from the perspective of investment.