The Book Pertaining to Piety and Softening of Hearts (Kitab Al-Zuhd wa Al-Raqa'iq)

Muslim :: Book 42 : Hadith 7130

The son of Abu Said al-Khudri reported on the authority of his father that Allah's Messenger (may peace be upon him) said: When one of you yawns, he should keep his mouth shut with the help of his hand, for it is the devil that enters therein.

Source materials are from the University of Southern California MSA site
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