In ancient German and Dutch folklore, Saint Nicholas, also known as Sinterklaas, would leave gifts in shoes and socks left out for him by children.
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By the 16th century, the beast-like Krampus was created as a counterpart to St. Nick to punish naughty girls and boys - sometimes by leaving coal in their stockings!
In Italian folklore, the witch La Befana would sneak into homes to leave gifts for good children and lumps of coal for bad ones.
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In the 19th and 20th centuries, coal was commonly burned to heat homes, so when Santa Claus came to visit, it was convenient to grab a lump to leave for children on his "naughty" list.
Of course, Santa would never give children lumps of coal for Christmas... unless they asked for it!