Your mind and body react to perceived stress created by our own thoughts just the same as they do if we are being threatened by a saber tooth tiger.
Your body does not know the difference between an actual threat ( a tiger ) and you believing you are threatened (an exam).
The immune system shuts down because we are preparing to run from danger rather than fight any infections. Students tend to get sick around exam time because their stress responses have dampened the immune response.
Our digestion shuts down because again, all energy goes to the big muscles that will help us run to escape rather than to digesting a meal so stress tends to cause stomach problems.
Blood is shunted away from the frontal lobes and is sent rushing to the hind brain which supports reflex reactions. Your body wants you to run, not think! So under stress we are actually less intelligent.
So, it is important to see the importance of teaching our brains new ways of perceiving situations and to teach it the relaxation response.
Fascinating audio on how emotions actually work in our body both chemically and electrically.
More info on emotional intelligence and how it affects success in learning and in life.