The Ark of the Covenant was built by the Israelites in the desert to hold the stone tablets that Moses received on Mount Sinai. The article "Ark of the Covenant" in the Encyclopedia Judaica, Vol. 3, cols. 459-466, has a good summary of all the Biblical references to the Ark.
The Ark disappeared around the time the First Temple was destroyed
by the Babylonians. In 2 Maccabees 2:4 it is stated that Jeremiah
hid the Ark in a cave on Mount Nebo (where Moses died). The Talmud
(Yoma 53b) records two views: According to R.Eliezer, the Ark was
taken to Babylonia; according to R.Yehudah, it was buried somewhere
on the Temple grounds.
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