The shock is described in the following way—the object will cause ordinary damage by the actual penetration, but also pass a shock-wave in the surrounding tissue due to the energy of the slowing object being passed into the largely liquid material of the body (65%+). The shockwave, or sometimes competing shockwaves from multiple impacts, are believed to cause greater damage than the object itself, sometimes enough to rupture internal organss and fracture bone. Especially large objects are believed to cause hydrostatic shock by the closure of the cavity created by the object's passage.
There is a body of opinion, however, that believes hydrostatic shock is arrant nonsense. The argument is based around how energy is transferred and the effects of such a transfer. Issues raised include kinetic energy vs. momentum, the rate of energy transfer, thermodynamics (the energy transfer would be into heat), the speed of sound in tissue, hydrodynamic effects, 'wound tracks', and the nature of a body.
That the effect exists is possible—explosions in water will damage nearby solid items by the transit of shock waves—but this is not in the same category of effect as a bullet strike. However it can be said that a lot of people do believe in the effect, which others would claim makes it merely "well-established superstition".