Here's an exercise that will prevent shin splints in the first place. I don't know if it helps after you already have them.
Walk ten steps on toes only, then ten steps on heels only, then ten on toes only, then ten on heels only, and so forth.
You can do this just around the house, or on a track or treadmill. It strengthens the shin muscles so that they can handle all the sprinting you do in a ball game. The stretches that were recommended should also be done, but by themselves won't prevent shin splints. The heel-walks actually strengthen the shin muscles so that they aren't strained when you sprint.
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