Can I buy US stock in the US as an alien??

Phillip Securities (HK) Ltd.

You can open Phillip Account via following ways:

(1) Come to our offices in person (Head office and branches information)
(2) On-line download Account Opening Form
(3) Request us to send you the Account Opening Form

For Overseas New Customers:

(1) Completed Account Opening Form
(2) Copy of HKID Card / Passport
(3) Proof of residential address within the past three months; e.g. Recent utilities bills, bank statements
(4) Sign a W8 Ben form (a Certificate of Foreign Status of US) to be exempted from US Capital Gains Tax.

You can open an account by post ; but in addition to completed Account Opening Form, you should enclosed above required documents and mail to Admiralty Investor Centre, 12/F United Centre, 95 Queensway, Hong Kong. Moreover, following conditions must be fulfilled :

Personal cheque drawn on a local bank. ( Name on the cheque must be same as that on the ID card / Passport.
A crossed Personal cheque of HK$ 10,000. (Please make the cheque payable to "PHILLIP SECURITIES (HK) LTD".) Deposit can be used for stock trading and is refundable when close account. Moreover. Deposit requirement can be waive if client deposit stock during open account.
All the documents as required must be certified by Professionals or notary Public (e.g. Lawyer ).

What is W8 Ben form?

W8 Ben form is a Certificate of Foreign Status of US. With W8 Ben form, you will be exempted from US Capital Gains Tax. Each account holder should sign a W8 Ben form.

U mean invest in Hong Kong stock market? Then u have to open u a securities account first, but u have to use Hong Kong ID card to open, because they wont accept people using US passport as an investor in Hong Kong.
Then u can deposit some $$ in your investment account and use e trade while u are study in US.
http://www.invested.hk/invested/html/TC/monthly/monthly_106.htm#P1