The Brazilian midfielder has returned to top form again for the Spanish side after a number of disappointing seasons
"I wasn’t even getting a game at Roma, so how could I be going backwards? This comeback has been incredible. This was just what I wanted: to have the chance to play and be a key man again," Baptista said to fifa.com.
"Of course, there was a level of uncertainty when I arrived due to the fact the team was near the bottom of the table. But I quickly saw that there was a clearly set-out project for the medium term, which aims to narrow the gap between Malaga and Spain’s top clubs."
The Brazilian also took the time to look back at his spells at clubs such as Roma, Real Madrid and Arsenal and stated that he lacked a sense of rhythm.
"Unfortunately, I suffered from a lack of continuity. During my spell at Real Madrid the club went through a lot of instability: I worked under four different coaches.
"So off I went to Arsenal, I settled well there and wanted to stay but Madrid were asking for €15 million for me. Arsene Wenger was very honest with me, he said that he was interested in keeping me but that at that price it was impossible.
"So I went back to Madrid, won the title and then came an offer from Roma. [Luciano] Spalletti believed in me and I was playing all the time. Then I picked up an injury and my situation was up in the air again."
The 29-year-old Baptista has a contract with Malaga until the summer of 2014.