The light from the stars passes through the atmosphere before it reaches the observer on earth. Atmosphere has layers of air with different densities. Due to the current of air, the densities of the layer of air, keep on changing continuously. 

This causes the position of the image of star to change continuously with time in space. As the change in density is in a small range, the image of star appears to move within a small area in the space due to refraction of light of the stars.

This gives rise to their twinkling effect.