I lived outside US for the whole year of 2009. But I have a US brokerage account, and got capital gain for about $2000 in year 2009. My question is whether I need file a tax return. Is there any publication from IRS I can take as a reference? Thanks in advance.

Capital gains on the sale of personal property (like stock) enjoyed by a nonresident alien are not taxable in the US under US domestic law. See:
Sec. 865. Source rules for personal property sales (http://www.fourmilab.ch/ustax/www/t26-A-1-N-I-865.html)

This is not a treaty issue.

Since the gain is sourced without the US under sec. 865(a)(2) your only concern is the taxing statutes in your country of residence on this item of income.

If you are not a U.S. citizen or resident, then the capital gain from shares is not taxable. You should complete W-8BEN and give it to the brokerage company.

Thanks a lot.
But the brokerage company doesn't withhold the tax on my capital gains, do I still need to provide form w-8ben to it? Many thanks.

File the W-8BEN with the broker just to be safe.

If no funds were withheld and no taxes are due, then nothing needs to be filed with the IRS.

Thanks for your quick reply. Really appreciate it.

Glad to help!