This article examines the relation between price and open interest in the Greek stock index futures market. The focus is on GARCH effects and the long–run information role of open interest. The results show that current open interest helps in explaining GARCH effects, while a negative impact on returns is reported. Furthermore, evidence from the cointegration tests shows that there is a long–run relation between open interest and futures price. This suggests that one can use the information of open interest to predict futures prices in the long run. These findings are strongly recommended to financial managers dealing with Greek stock index futures.