Website: Space.com Star of Bethlehem: Going Back in Time to Examine Its Origins

At least they know He wasn't born Dec 25. Here's the verse:

Matthew 2:9 When they had heard the king, they departed; and, lo, the star, which they saw in the east, went before them, till it came and stood over where the young child was.

And here is a verse which sheds some light on the answer:

Revelation1:20 The mystery of the seven stars which thou sawest in my right hand, and the seven golden candlesticks. The seven stars are the angels of the seven churches: and the seven candlesticks which thou sawest are the seven churches.

In Matthew 2:9 the star went before them, till it came and stood over where the young child was. So the star was actually leading them directly to the child, it wasn't just in the eastern sky. If they saw a bright star in the sky and headed toward it they would never reach it. It could never lead them directly to a person. And as the earth rolled it would move or not be visible anymore. In light of the definition of a "star" in Revelation 1:20 and the context in which "star" is used in Matthew 2:9, it becomes clear that the star is actually an angel.