In Act 1 scene 4 of Hamlet, why do Horatio and Marcellus tell Hamlet not to follow the ghost?

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There is some concern about the ghost as a result of the religious debates that existed during Shakespeare's day. England was largely Protestant, and there are no ghosts in Protestant beliefs; the souls of the dead go to either Heaven or Hell, and they cannot return to earth. Some people did believe that demons could appear in the guise of the dead and, in this way, tempt otherwise good people to do terrible things (like kill their uncles). Catholics, on the other hand, believed in Purgatory; a soul could, theoretically, return from this region of the afterlife. The ghost does say that he is

Doom’d for a certain term to walk the night,
And for the day confined to fast in fires,
Till the foul crimes done in my days of nature
Are burnt and purged away . . .

This does sound an awful lot like Purgatory, where a generally good soul would go on its way to Heaven in order to be purged of the sins of which it had not been absolved when the soul's body died. Wittenberg, however (where Hamlet and Horatio go to school), is very Protestant. It was the site of Martin Luther's rebellion against the Catholic church in 1517. Therefore, this could be why Horatio is suspicious of the ghost.

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Horatio and Marcellus are very suspicious of the Ghost, and fear that instead of actually being the ghost of Hamlet's father, it may be some devil or sprite that seeks to trick Hamlet into following it so that he can be lured into his death. Note what Horatio says as he tries to convince Hamlet not to follow the Ghost:

What if it tempt you toward the flood, my lord,

Or to the dreadful summit of the cliff

That beetles o'er his base into the sea,

And there assume some other horrible form

Which might deprive your sovereignty of reason

And draw you into madness?

Horatio and Marcellus therefore urge Hamlet not to follow the Ghost because they are unsure as to whether the Ghost is what he appears to be or not. This introduces a key theme into the play, which is whether Hamlet and the audience can trust the Ghost, and this is something that Hamlet himself debates, which partly explains why he feels he needs to have proof before he can act to avenge his father.

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