Importing a whole package can only make the compilation slower, not the execution of the program. The compiler searches for a class that you have used in your program in the classes/packages you have imported. Therefore, the more classes it has to search in, the more time it is going to take. However, I haven't seen it make much of a difference practically. It is more of a theoretical difference (in my experience).
What can affect you as a developer is the fact that importing whole packages can create unnecessary conflicts. E.g. there's a Date class in both java.util and java.sql package. If you are using some other classes from both these packages and instead of importing specific classes (java.util.Calendar), you import the whole package (java.util.* & java.sql.*), you can't simply use the Date class. You'll have to use the fully qualified name of the class (e.g. java.util.Date).