A Rolling Conjunction is a line-up of planets where each is conjunct the next but not necessarily within orb to conjoin the others. Yet, they all act as a unit in the chart as if they were all conjunct.
The planets in the middle provide a bridge that connect all planets within the whole group. So, the planets at the beginning and end of the group might not be in orb to conjoin each other, but the effect is still there because of the bridging planets.
The effect is very intense and complex, since it is the planetary energies that mingle with each other, although not necessarily focusing on the sign or house. In a Natal chart, it results in long periods of easy or difficult Transits to those planets, as slow-moving planets aspect one after the other over time. Similarly, the Progressed Moon would forms an aspect to those planets over time.
If all planets are within orb of conjoining the others, then it may also be called a Multiple Conjunction.
A Rolling Conjunction might or might not also be a Stellium, and a Stellium may or may not also be a Rolling Conjunction. A Stellium is simply a collection of planets in the same sign or house, but not necessarily in conjunction with each other. If the Rolling Conjunction group spans more than one sign or more than one house, then it is not a Stellium. If they are all in the same sign or the same house, then they are also a Stellium.