It is, alas, a cause and effect universe. When we don't see or can't figure out what precedes an "effect" it becomes mysterious to us. Our imagination does the rest. The more creepy the explanation the more thrilling it is to believe.
People who tell their mysterious stories generate immediate interest and they are the focus of rabid attention. Like the fisherman who has a fish story to tell, the details become slightly embellished over time. Others retell the story and make it more and more interesting.
Then, before you know it you have something really special. But, unprovable.
Have you ever had a really thrilling magic trick "explained' to you for how it really works?
Isn't it incredibly mundane and disappointing?
That is why we prefer the legend to the truth. Life is mundane enough without losing all the thrilling parts.
To answer the question posed directly: Do you believe in the paranormal?
I don't even believe in the Normal!
The normal is like a pond with an average depth of 4 feet. The paranormal is the 6 foot drop in the middle that drowns you.