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I experimented this phenomenon, but I don't know why. My guess is it has to do with back EMF, but I am not sure how.

I found it's also documented on wikipedia:

(For the experimenter, the windings can be identified by touching the terminal wires together in PM motors. If the terminals of a coil are connected, the shaft becomes harder to turn. one way to distinguish the center tap (common wire) from a coil-end wire is by measuring the resistance. Resistance between common wire and coil-end wire is always half of what it is between coil-end and coil-end wires. This is because there is twice the length of coil between the ends and only half from center (common wire) to the end.) A quick way to determine if the stepper motor is working is to short circuit every two pairs and try turning the shaft, whenever a higher than normal resistance is felt, it indicates that the circuit to the particular winding is closed and that the phase is working. https://en.wikipedia.org/wiki/Stepper_motor

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You're nearly right. Back EMF is generated when a motor is running and increases the faster the motor turns. The effect is to reduce the amount of current into the motor. (That's why the starting current is so high.) In this case the motor is only acting as a generator so we are generating EMF but not 'back' against anything. It's only a matter of terminology so your basic understanding is correct.

Many people don't realise that if power is drawn from a generator that the resistance to rotation increases. When you short circuit the winding a high current flows in the windings and it opposes the turning motion, hence the high resistance to rotation that you are experiencing.

This problem is the bane of folks trying to make electric perpetual motion machines.

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    \$\begingroup\$ @user14042 Back in school we had a little hand-crank generator connected through a switch to a light bulb. If the switch was open then the crank spun easily. When closed, it was much more difficult. It was a great demonstration: you got a good feel for the actual "power" you were supplying to make the light bulb illuminate :) \$\endgroup\$
    – bitsmack
    Jan 4, 2016 at 21:32
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When you turn a "motor", it's really acting as a generator. Normally the electrical energy so generated would be sent somewhere but since you've shorted the windings, the power will be dissipated as heat in the resistance of the windings.

Conservation of energy says that that dissipated power has to come from somewhere, and you are supplying it as torque*speed on the input shaft.

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