Of course they do. Why else would tens of thousands of people from all nations around the world and all periods in human history report seeing them under more or less similar circumstances? The question you should be asking yourself is, granted that ghosts exist -- what are they?
The most important thing to know about ghosts is that they are not the souls of dead people returned to communicate with the living. Dead is dead. Unless you believe in the reincarnation of the lower soul with the memories of its past lives intact, there is no coming back (I do not believe in the reincarnation of the personality and memory).
Neither are ghosts physically present when you see them. They are present in the astral world which always overlaps the physical world. You see a ghost when, for various reasons, the separation between the two levels of reality becomes very thin.
From historical accounts, it appears that the perception of ghosts occurs most often at night, in relative or complete darkness, or at least in some shadowed place, usually when the air is still. Certain localities are favorable for the appearance of ghosts -- why is difficult to determine. One theory has it that a ghost is a kind of psychic recording of an event in the past that took place at that locality, and that the locality acts as some sort of recording medium, and periodically replays the event under the right conditions.
Ghosts are often described as shadowy or translucent. Only portions of their body may appear -- a relative of mine once saw a ghostly hand project itself upward through the surface of a school desk that was stored in a dark school basement. Sometimes ghosts walk out of or into walls, or through furniture. They can do this because, to them, our physical reality is no more than a projected three-dimensional image.
There are many exceptions to this general description, of course. Some ghosts appear as real and as solid as a person of flesh and blood. Some appear in full...
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