The Introduction to the Immigration Rules defines 'supplementary employment' as:
Under Part 6A of these Rules, "supplementary employment" means other employment in a job which appears on the Shortage Occupation List in Appendix K, or in the same profession and at the same professional level as that which the migrant is being sponsored to do provided that:
(a) the migrant remains working for the Sponsor in the employment that the Certificate of Sponsorship Checking Service records that the migrant is being sponsored to do,
(b) the other employment does not exceed 20 hours per week and takes place outside of the hours when the migrant is contracted to work for the Sponsor in the employment the migrant is being sponsored to do.
http://www.ukba.homeoffice.gov.uk/polic ... roduction/
In additions, 'employment' is defined as:
"employment" unless the contrary intention appears, includes paid and unpaid employment, paid and unpaid work placements undertaken as part of a course or period of study, self employment and engaging in business or any professional activity.
While the rules certainly allow share ownership (of a firm other than the sponsor) you might find it difficult to argue that owning a company 100% is not 'engaging in business or any professional activity'.