I am confused; why we always use "Listening to music" why not "Listening Music"? Can somebody please explain.
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There are many verbs that are used in constructions requiring a prepositional phrase rather than a direct object. Just a few examples:
Actually, the 'verb + preposition' structure is probably the key one, there being little (eg fight with / against) or no choice of a different preposition, which is not at all the case with the prepositional complement. In fact, there are similar-looking constructions where the structure is really more coherent than a 'verb + preposition' analysis would suggest:
Sometimes, direct-object constructions are also available:
but they often have slightly or very different meanings. Though fight X and fight against X are near-synonymous - and see below.
The reasons why these different structures are accepted may be hidden in the history of the language, so it can seem quite idiosyncratic nowadays. It's not strictly logical - for instance, in French 'écouter' means 'to listen to' - they don't add their version of 'to' (à) to the verb. Also, some verbs can be used with a direct object or a prepositional phrase, with little difference in meaning. Collins Cobuild grammar has a list which includes jeer (at), mourn (for), play (against), twiddle (with), rule (over) and brush (against). [These equivalences are true only for certain senses of these verbs, of course - eg brushed (against) his leg, not brushed the path.]
English verb + preposition constructions are covered in a series of articles found at http://esl.about.com/od/advancedvocabulary/ss/verbplusprep.htm .
It's the verb "listening" that does it, I think. You can correctly say "watching movies", or "watching grass grow", but with listening it has to be accompanied by "to".
If you say "hearing" as another descriptor of auricular perception, there you can forego "to". "Hearing music". But "listening" implies conscious attention. The reason it requires a "to" in English is seemingly quite arbitrary, like many grammar choices.
What do you like doing / do in your free time?
Verbs which do not require prepositions
Verbs that require a preposition
For a more extensive list of verbs with their corresponding prepositions English Page.com is useful.
Edit: J.R's comment below is a reminder that nothing in English is set in stone. I'm including it because it is clear, concise and a valuable piece of advice: