My new mouse keeps trying to run away, is something wrong?

Well I got him today, there was a grad prank at school were boxes full of mice were dropped around school, and I managed to get one and took him home, he was bought from the pet store a block from the school, at first he was very timid and sat in my hand, then he just wanted to run away and kept trying to get out of his box. Now he is just hiding under the cotton balls I gave himfor a bed, is this too be expected???