There is no such teaching in Islam. However there is a teaching that after you go to hajj, you should change to a better person (more pious), this is a sign that you hajj is "mabrur" (success). Some cultures (traditions) have different expressions to be consider a better person, in my hometown culture for example (in olden day) men who already gone to hajj usually they will wear a white hat (kufi) in his daily life, and women will start wear hijab even if before go to hajj they didn't wear it. But again this is not "Islamic teaching" (required by Islamic scriptures i.e Quran/Sunnah), it's purely cultural expression. In the case in my hometown, this day specially the men they don't follow this tradition that much, however alhamdulillah (thanks God) the women still.