3 Answers

Stigmata is a term used by members of the Christian faith to describe body marks, sores, or sensations of pain in locations corresponding to the crucifixion wounds of Jesus Christ, such as the hands, wrists, and feet.

More Catholic than "Christian"

No one has ever claimed that imagination could produce wounds in a normal subject; it is true that this faculty can act slightly on the body, as Benedict XIV said, it may accelerate or retard the nerve-currents, but there is no instance of its action on the tissues (De canoniz., III, xxxiii, n. 31). But with regard to persons in an abnormal condition, such as ecstasy or hypnosis, the question is more difficult; and, despite numerous attempts, hypnotism has not produced very clear results. At most, and in exceedingly rare cases, it has induced exudations or a sweat more or less coloured, but this is a very imperfect imitation. Moreover, no explanation has been offered of three circumstances presented by the stigmata of the saints:

Physicians do not succeed in curing these wounds with remedies.
On the other hand, unlike natural wounds of a certain duration, those of stigmatics do not give forth a fetid odour. To this there is known but one exception: St. Rita of Cassia had received on her brow a supernatural wound produced by a thorn detached from the crown of the crucifix. Though this emitted an unbearable odour, there was never any suppuration or morbid alteration of the tissues.
Sometimes these wounds give forth perfumes, for example those of Juana of the Cross, Franciscan prioress of Toledo, and Bl. Lucy of Narni.
To sum up, there is only one means of proving scientifically that the imagination, that is auto-suggestion, may produce stigmata: instead of hypothesis, analogous facts in the natural order must be produced, namely wounds produced apart from a religious idea. This had not been done.

In recent times a priest, Padre Pio of Pietrelcina had stigmata which he claimed  arose spontaneously, but his manservant said he applied carbolic acid to keep the wounds open.