Ahhh, shedding and stress. I can not remember specifically which animal, but I know one type of prey animal sheds significantly more when it is stressed. Reason? When a predator clamps its jaws down on the prey animal, the prey animal stresses and sheds, leaving the predator with a mouthful of fur and the prey can hop away safely. I believe this is a Chinchilla characteristic...

But, yes, I've noticed that stress can induce more shedding. Lucky sheds a lot more than usual when he's stressed.