Many children begin thumb sucking in their mother's womb. Sucking is a natural reflex that infants are born with, essential to their survival. It is part of the Suck, Swallow Breathing mechanism, which develops in infancy during feeding and is responsible for supporting and developing many human functions and behaviors.
These include posture and motor development, visual motor skills and development, speech and language development and social/emotional development. Many babies enjoy a dummy or thumb to self soothe when they are upset or tired. You can get more information about how to stop thumb sucking via https://www.amazon.com.au/Age-2-7-STOP-Thumb-Sucking/dp/B00VQU2DZS.
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This specific area is stimulated upon thumb, finger or dummy sucking. Studies show that when this happens, neurotransmissions reduce in the brain as hormones such as dopamine and serotonin are released. These hormones induce a sense of calm, comfort and relaxation.
As they get older, many children continue to suck fingers and thumbs, toys, blankets, pens, and pencils, hair and clothes to stay alert, to focus attention as well as to keep calm and self-sooth.
This is known as non-nutritive sucking (not to be confused with the important 'oral exploration' stage of infancy from birth to two years). If the child hasn't stopped by the age of four, it has become a habit.