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There have been several urban legends regarding the song over the years, mostly involving it being allegedly connected with various numbers of suicides, and radio networks reacting by purportedly banning the song. Sources propagating the legend fail to provide substantiation for claims of suicides or radio bans.
Up to seventeen suicides were reportedly linked in some way to "Gloomy Sunday" in Hungary before the song was allegedly banned.....
Hungary has had the highest suicide rate of any country for many years, so a few dozen suicides over a year certainly wouldn't have been unusual, even in 1936...