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In Hikaru no Go, the main character (Hikaru) has a ghostly companion who tutors and trains him in the game of Go, a sort of Othello/chess hybrid game. However, about halfway through the series....

Sai ends up disappearing and, from then on, Hikaru must train and succeed on his own.

What happens to Sai? Why is he no longer present for the rest of the series?

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According to the plot of the serie, Sai realized his role was not to achieve the Divine move (also called "hand of god") but that he was just there to transmit all his knowledge of the game to Hikaru. Having no more regrets, he can leave the world. So Madara Uchiha's answer is correct.

Also, in a public interview Yumi Hotta (scenarist of the "Hikaru No Go") gave during European Go Congress 2011 (in Bordeaux, France), someone asked her "Why did Sai disappear?". She answered that Sai had a role similar to a father to Hikaru, and that you cannot live your whole life with your parents following you. At some point, you have to grow up and become an adult. So, the fact that Sai disappeared is a symbolic way of saying that Hikaru is (on his way to) becoming an adult.

Hikaru "finds" Sai later when playing go. This has the same meaning as saying that even if you leave your parents, you will always have in you what they told you, what they taught you, and the values they transmitted to you.

And, in fact, by the end of the series Hikaru looks a lot more mature than when he was with Sai.

According to Yumi Hotta, "Sai had to disappear", otherwise he would be blocking Hikaru from becoming an adult, in the same way a mother or a father would if he or she was always protective about his/her child.

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    Actually, I believe that Sai very much regretted having to leave. He wanted to play Touya Meijin more, and he didn't want to leave Hikaru. He was forced to leave against his wishes. – Tom Zych Dec 30 '14 at 11:32
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From what I understood, Sai had fulfilled his role in the world. He had trained someone with passion to continue his work alone, without his guidance. The path to the "Divine Move" is now cleared, and he's no longer needed.

His job was done.

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    But I thought Sai's purpose was to be part of the game where The Divine Move was played? – user74 Dec 11 '12 at 23:41
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    @Kasuchiko: No, the path to the game where The Diving Move is played in is long and difficult. Sai's part was to give that legacy to someone after he died. – Madara Uchiha Dec 11 '12 at 23:46
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I think that Sai's original goal and purpose was to play the divine move and be part of the game, but as he realized Hikaru's potential he decided by himself that his goal was to put Hikaru on the path to the divine move. Kind of like if your a parent that played a certain sport and your child decides to play as well. There might be one thing in that sport you were never able to do before you retired. Would you continue to push past your limits as you got older? No you would help your child achieve that goal themselves and leave behind your legacy with them.

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