This paper analyzes the relationship between ownership concentration and shares liquidity for a sample of 115 listed firms that traded during the period from April 2000 to December 2000. Results show a negative influence of the ownership of directors, major shareholders and outside shareholders on liquidity. We do not find evidence of the influence of liquidity on the ownership concentration. We also observe that the ownership concentration increases the adverse selection spread component and that this component is negatively related to shares liquidity. Therefore, the reduction in liquidity seems to be consequence of the penalization that the market imposes to firms whose shareholders possess a high concentration of the property given that these investors possibly have better information on the shares value.