Surface tension is the elastic tendency of liquids which makes them acquire the least surface area possible
Adhesion is the tendency of dissimilar particles or surfaces to cling to one another (cohesion refers to the tendency of similar or identical particles/surfaces to cling to one another).
It seems that this phenomenon is a result of adhesion and surface tension.
Water is attracted more to the molecules of skin to itself.That is why it clings to the skin.
And due to its tendency of acquiring least surface area,the thin sheet of water appears.
Am I wrong?