I used to feel like that all the time. Yes, all the time. Since the moment I started reading novels for the first time up until about a year ago, I always felt deep connection with the character when I read. Every single time.
I believe I even posted about this on this forum some time ago. It went something like, there are two types of readers, the spectator and the participant; I'm the participant, something like that.
You can basically call it a self-insert. No matter what I read, I become a character and experience everything the character experiences. Literally. Even if the character does something not acceptable by the society standard, I would find it justifiable because I know how the character feels and why he does what he does. And yes, it's an ecstasy. A complete euphoria.
Now, I said I used to because nowadays I don't feel that way anymore. I suspected stress before, but I've come to realize that's not really it. Maybe I have matured once again. My worldview has changed. I'm more grounded now, almost zen-like. I don't find much enjoyment in escapism like I used to. Nowadays, when I read, I'm more like an observer, seeing the character from the outside perspective. I'm more picky when it comes to what character I would allow myself to insert into.