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I was talking about writing Malware or Trojan, or Tracing Program, is Java capable to make them?

Java is capable doing so, yes. But depending on the very kind of malware and your target group another language might be more suitable.
If you need OS dependend functions, it might be better to choose a language that has direct access to them instead of using JNI.
If you want a malware that works on a very broad range of platforms, Java might be a really good choice.