One of the deeper reasons for this custom is that the entire miracle of Purim was clothed in natural happenings. The events of the Purim story happened over a period of years and are seemingly unconnected. There isn’t even an explicit mention of G-d’s name in the Megillah. In fact the very name of the Megillah — “Esther” —
hints to the hidden nature of the miracle. When the
Talmud asks “Where do we see a hint to Esther in
the Torah?” it answers with a verse from
Deuteronomy (31:18) “v’Anochi haster Astir Panai”
(“and I will surely hide My Face”). The word
“Esther” means “hidden”.
Within the Megillah there are a number of
“dressings up”. Vashti remains attached to her
attire despite the demands of Achashverosh. Esther
doesn’t reveal her people — no one knew where
she was from nor realized she was Jewish. People
who saw her thought she was from their (foreign)
nation. Mordechai wore sackcloth in mourning for
his people and was later dressed in the clothes of
the king.
This was taken from the following:
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Best wishes for a Happy Purim!…