The Day my brother got killed suddenly, I experienced a warm feeling on the palm of my hand just under my right index finger. I have experienced this a few times in the first 2 weeks of his death, but now it has only happened maybe 3 times. It is now 4 weeks since his death. Does anyone think this could be him holding my hand?

It would indeed to be a beautiful thought that he was holding your hand.

Sorry for your loss... but no, I do not believe it is your brother... nor anything paranormal. In fact I don't even believe it is possible since I do not subscribe to the idea of human spirits remaining on earth after death.