The answer to this question has to be “a miracle” since there are a great many variables to say with any sort of certainty that it was any particular stellar event. It appeared in the east: if Persia is meant then it is perhaps a two year journey to find Bethlehem.
It is possible that this simply means, as astrologers, they read the signs and determined that the birth of the messiah was near. “We read his horoscope” sounds far less Christmas-y, but that may be in fact what Matthew meant.
Other things besides stars could be considered as omens and portents. Comets and meteors were always considered signs, it is possible that one of these appears at the right time and made the Magi think that Messiah had been born. In addition, the star guides the Magi to the house, this is unlikely to be a comet, meteor, conjunction, etc.
Why would a star be the sign that the Messiah was born? Balaam’s prophecy in Numbers 24:17 describes a king who will rise from Israel who will rule over the nations:
Numbers 24:17 (ESV) I see him, but not now; I behold him, but not near: a star shall come out of Jacob, and a scepter shall rise out of Israel; it shall crush the forehead of Moab and break down all the sons of Sheth.
While it is difficult to state for certain that this “star” in Numbers was the star in Matthew 2, the connection of a celestial sign with the birth of a great king is a well-known feature of Ancient culture. If Jesus was the Messiah, his birth would have been accompanied with signs and great men (like the magi) would observe and understand the importance of the birth.