Cointegration is a statistical property of time series variables that indicates a long-term equilibrium relationship between them, even if they are non-stationary individually. When two or more time series are cointegrated, it means that their movements are linked over time, and they tend to move together in a consistent manner despite short-term fluctuations. This concept is important in fields like economics and finance, as it helps in understanding relationships between variables such as stock prices and interest rates. By identifying cointegrated series, analysts can make better predictions and develop more effective models for forecasting future trends.