Steel or Mithril mostly with a sprinkle of magic.
I don't believe there is any reference in the books or to the material that was used. Only just general nods that the Elves were smithing with steel and/or Mithril in the first age when those, at least Sting, was created. Granted they were using some form of magic as well asdoing something in their smithing process that seemed magical to other races. Hence, why Sting does glowglows blue with the Orcs.