The hosts came within inches of breaking the deadlock after just eight minutes when Alexis Sanchez found space inside the Malaga box, but his shot kissed the outside of the post on its way behind.
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The hosts responded almost immediately with a chance of their own when Jordi Alba guided a shot towards the top corner, but Caballero was equal to the effort.
Alba came close again five minutes later, but the home team wouldn't have to wait much longer for the opening goal as Pique slammed a loose ball home from close range following a Xavi corner.
If things stay the same, then Barcelona will return to the top of La Liga, leapfrogging the two Madrid clubs in the process.