As part of IFLScience's Halloween series, we spoke to an anomalistic psychologist to find out.
... The belief in ghosts is a funny thing. Despite there being no evidence to support their existence, ghosts have haunted humanity wherever they have settled across the planet. Every age and every culture has its own type of ghost and ghost stories, each shaped by its own peculiar context. And despite the rise of scientific thinking in the 20th and 21st centuries, the belief in unquiet spirits is still very much alive...
I’m guessing that it’s, as Damien Hirst phrased it, the impossibility of death in the mind of one living. That your mind/spirit/point of view would cease existing when you die is an idea that is hard to intuitively grasp, so humans across cultures come up with ideas of an afterlife to rationalise it.