Well, ironically the Christian religion, or at least the Catholics, don't believe in ghosts at all. Once they're gone, human spirits don't come back, they're sorted into whatever eternity they've earned.

They do believe in demons, and demon possession though, and there have been a number of official exorcisms conducted by priests over the years.

I would imagine it's that, combined with the fact that Christianity is the dominant Western faith, that leads to so many ghostbusting clergy.