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Firstly, it is important to remember that it is not just women who die in this play. After all, a fair number of men also die. What is key to focus on instead is the way that the ending does not restore certainty to the audience that doing good deeds will be rewarded whilst committing bad deeds will result in punishment. After all, whilst Goneril and Regan do die, and this is shown to be brought about partly by their own evil actions, by far the most shocking and tragic death of the play is that of poor Cordelia, who dies in spite of her innate goodness and faithful love to her father. The fact that all the women die supports what Gloucester says in the play after he has been blinded about fate and the gods:
As flies to wanton boys are we to the gods;
They kill us for their sport.
Gloucester presents a disturbing image of the universe where humans are viewed as mere playthings who are killed for "sport," just as boys kill flies and other insects for fun. The death of all the female characters therefore explores the disturbing possibility that there is no sense of cosmic justice and the gods are at best beings who are profoundly indifferent to the suffering of humans, and at worst active pursuers of our misery.
The original question had to be edited down. I would suggest that the ending of the drama is not one in which only the women die. It is evident that the Catastrophe element in the ending of the drama is that everyone dies. On one hand, the ending of the drama is one in which its tragic dimensions are fully realized. Everyone dies. There is not much more tragic than that. Yet, at the same time, a reason why all the men and women die at the end of the drama is to indicate the need and presence of restoration. One of the most intricate readings of the drama is one in which there can only be restoration through death. Death becomes the vehicle in which a new start can be envisioned. Part of the reason that the women, and men, die in the end is to give birth or give way to this new vision of reality: “For what takes place in King Lear we can find no other word than renewal.” Knight's words also echo Albany's earlier thoughts about the presence of evil intrinsic to humanity: “Humanity must perforce prey on itself,/ Like monsters of the deep” (IV, 1, I. 48-9) If this is valid, then the ending of one in which all of the women die, as well the men, help to bring out the idea that there is a restoration offered through death. I don't see Shakespeare making a gender statement in the death of the women. Rather, he seems to be suggesting that there is a clear understanding in which the need to start anew can only be present with the catastrophic element of death in such a magnitude as to indicate the hope of that which is new.
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