Many conservative Christians believe that the star was purely a supernatural phenomenon, caused at least in part by the presence of a large group of angels at the announcement of the birth of the Savior. Of course for such a light in the sky to be witnessed hundreds of miles away by the wise men from the east, it would have to be brighter and higher than an atomic bomb blast--it would have been so bright in Bethlehem no one could ignore it. So, there had to be something more than just an angel appearance going on. Some supernatural intervention by God to make their appearance visible so far away.
Those who hold to the angel theory do not typically believe that the wise men followed a roving band of angels all the way to Bethlehem. Rather, most believe that there was another sign continuing in the sky after the angels disappeared from view. The book Desire of Ages holds this viewpoint:
The wise men had seen a mysterious light in the heavens upon that night when the glory of God flooded the hills of Bethlehem. As the light faded, a luminous star appeared, and lingered in the sky. It was not a fixed star nor a planet, and the phenomenon excited the keenest interest. That star was a distant company of shining angels, but of this the wise men were ignorant (p. 60).
Whether that continuing sign was a conjunction, a nova, or something else is not clear.