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TLDR This belief doesn't come from a myth it first appeared in Wizard of Oz.
I think the first time this belief was stated was in the the Wizard of Oz rather than in any myths. The belief probably comes from older myths/customs surroundin witches that were drawn upon to create this idea for the Wizard of Oz.
1) Water used to find witches. This took 2 forms....
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As a follow-up to my (almost) namesake @Thom .
And to @Spencer
It is not specifically stated that they burn in water they are only afeared to cross it.
Tim O 'Shanter's poem says
Ah, Tam! ah, Tam! thou'll get thy fairin! In hell they'll roast
thee like a herrin! In vain thy Kate awaits thy comin! Kate soon
will be a woefu' woman! Now, do thy ...
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Romanian witchcraft is (not surprisingly given the religiosity of the country) rooted in Christianity, which in its turn copied the principles of a blood sacrifice and scapegoating from Judaism. Christianity and Judaism are strongly influenced by principles of blood magic.
Middle Eastern ancient religions quite often demanded bloodshed to mollify the gods. ...
2
This study should answer your question:
The wizards of the violet flame. A magical mystery tour of Romanian politics - Journal for the Study of Religions and Ideologies
It presents the manifestations of irrational practices in recent Romanian politics. Providing a short history of the mystical and the occult in Romanian politics, this research uses as a case ...
1
This is a story thread in Robert Burns's poem 'Tam O'Shanter' from 1791. Tam is spirited safely by his mare Maggie to a bridge, and the pursuing witches cannot follow him across the water.
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