A stone in your hand

When I was in high school and had the physical training, we sometimes had to go out and run. 

I hated it, as I wasn't even slightly fit. 

The hockey guys in my class, was always very happy about it, so they could show of how good they where. 

Each time we had to go run, they picked up a stone in each hand, squeezed it and started running. It was apparently supposed to help you run. I never understood it. 

Today I picked up a stone and put it in my hand, when I went running. 

I'm home from the running, and I still don't get why they did it.