"I don't believe that that the circus has the worlds rarest gem and the country's fattest lady" Said Mary sceptically.

No, there is no evidence for ghosts.

There are two ways to arrive at this conclusion:

First, you can sceptically consider some representative evidence for paranormal activity. You will find that this evidence consists of recordings of electromagnetic noise. Essentially the static and random sounds you hear on a radio, but at other frequencies of the electromagnetic spectrum. But, it can be difficult to interpret this data unless you have been to high school or college and learned about the physics of light and electromagnetism. There is an easier way to find out if ghosts exist...

You can instead rely on the judgment of experts. We spend our tax money to employ scientists to come up with the most accurate description of the way the world works. Through observation and experiment, we have decided that we live in a world which obeys a set of rules. Ghosts, as they are usually defined, are things that don't play by those rules. So, if there were any evidence for ghosts, scientists would be very interested. Evidence for a ghost would allow us to rewrite the current rules we have for the way the world works, and come up with a better set. Whoever was lucky enough to rewrite these rules would become very famous. As it turns out, nobody has become famous for discovering ghosts, so it is fair to conclude that either they do not exist, or that no human has ever witnessed one.

It is a separate question of why we tell ghost stories, and why some people swear they have seen a ghost. It depends on who you ask, but I think we tell ghost stories for fun, to experience fear in a safe environment, and sometimes to remember a person or a pet we loved who has died. Why some people swear to have seen ghosts may have a complicated answer, but a short version is that what we see and hear can be modified quite a bit by what we expect to see and hear. If a person is not very sceptical about ghosts, they may interpret a natural sound or sight as something supernatural.