The Jewish Revolutionary Spirit goes into this, but it started during the Middle Ages as a way to identify Jews and protect them from attacks. The official policy at the time was called sicut iudaeus non..., which meant that no one was allowed to harm a Jew or disrupt their religious services, but that the Jew could not subvert the culture of their host nation or engage in revolutionary activities.
The yellow star was one iteration, but in the past it took other forms, like special hats, for instance.
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