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Within Orthodoxy, it is considered a breach of modesty for a married woman to have uncovered hair while in the presence of men other than her husband. Customs differ as to how much hair can be showing beneath the head covering, or if a wig is better/worse than a hat of some sort.
The Talmud )Berakhos 24a) says "sei'ar be'ishah ervah -- hair is an erotic thing in a woman". (And it sites Shir haShirim 4:1, where Solomon praises his beloved -- or metaphorically is saying that G-d praises us, His beloved -- with the words "your hair is like a flock of goats".) From context, we know that we're speaking of married women. Although Yemenites and Toledos Aharon chassidim do not make this deduction, and read Maimonides as not making this distinction, and their girls (after age 3) cover their hair.
So, it sounds like a straight tzeni'us (modesty) thing -- we consider hair sexually attractive and therefore really only something to share with one's husband. However, few things are that simple.
There is a concept called "sotah", the law of a wife whose husband suspected her of having an affair. In the days of the Temple, the husband with such suspicions would tell her to stay away from whomever. If she was still found alone with the suspected paramour, the husband would take her to the Temple. We know she did is doing something emotionally iffy, the question is whether she actually had a sexual affair with another man. She violated the marriage at some level, the question is how much.
There, the kohein takes some dust from under the Temple floor (one of the marble tiles was removable), write some verses on a parchment, put them into some water, letting the sand and ink dissolve in it. If she was guilty, and if she had no special merits to warrant her being saved, the woman would miraculously be made sick by the water. Otherwise, nature would run its course and it was simply a bad-tasting drink.
We mention this ritual because, before she is given to drink, the woman is shamed. As part of that, the Torah tells the kohein to uncover or unpleat her hair, demonstrating the Torah is taking it as a given that married women covered their hair.
So, whereas in the original quote from the Talmud, it looked like the requirement is a rabbinic "fence" around the laws of sexual immorality. Now we see the prohibition is Torahitic (a conclusion also found in the Talmud, Kesuvos 72a).
So, ultimately, why do married women cover their hair? Because G-d said so. We don't necessarily know why, much like we don't know why you can't mix meat and milk. We may have nice thoughts about the topic, lessons we can take from the act, but not "the reason". gave from the Talmud, this makes the prohibition Torahitic.
But what about "the hair of a [married] woman is erotic"? This is actually a consequence of the Torahitic law, not a cause for the law. Anything normally covered is alluring when revealed. Since the Torah requires the hair being covered, when it's uncovered it's sexually alluring. Of course, that's not true today in most societies that have access to email accounts and wearing jeans. Men see married women's hair all the time.
The Arukh haShulchan (Orach Chaim 75:7) deals with this question. He notes that in Lithuania of his time (the work was published in parts in 1883-1993) it was common for women to neglect this obligation. He laments this, saying it's due to "the license of our days, from our great sins". His context is the ruling that a man may not say Shema in front of a married woman whose hair is uncovered, just as he couldn't if she were indecently exposed in some other way. However, the Arukh haShulchan concludes that this ruling would not apply in his context, since the norm is not to cover the hair, and therefore her appearance would not be distracting.
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