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The word 海市蜃楼 is formed by combining 海 (sea) and 市 (market) to denote an illusory sea market, with 蜃 (a mythical clam) and 楼 (tower) referring to a phantom tower believed to be conjured by the clam's breath, together literally describing the phenomenon of a mirage as an imaginary sea-market and clam-tower.

Word Definition - 海市蜃楼

hǎi shì shèn lóu (idiom) (lit. and fig.) mirage