Stress is often mentioned as playing a part in various autoimmune disorders, such as alopecia areata. However, experimentation is ongoing to try and establish the connection.
It is thought that the nerves in the scalp as well as various products of the nervous system could interrupt the cycle of hair growth. Substance P is a brain chemical and it is thought that this could be released from nerves near hair follicles when they are inflamed.
There is some evidence that this could affect the growth of hair. Substance P encouraged hair growth in mice when follicles were in the resting phase, but when follicles were in the growth phase, the same chemical encouraged them to convert to the intermediate catagen phase.
Similarly, capsaicin, a pain relieving cream, has been known to work for some people suffering with alopecia. This cream releases substance P among other things.
This evidence supports the notion that nerves around hair follicles affect growth, but more studies need to be carried out. The important thing to remember is that hair loss has many potential causes and it is unwise to assume anything without first consulting a doctor or dermatologist.