Where the captured signature is stored in my mac?
They are stored in:

~/Library/Containers/com.apple.Preview/Data/Library/Preferences/com.apple.Preview.signatures.plist

where ~ means your user's home folder (normally /Users/yourusername/).

Note that the signature is not stored as a typical JPEG/PNG image or as a PDF-file or similar, so you won't be able to directly use the file together with other programs.

Another thing to note is that the signature data is usually encrypted. In your Keychain you should be able to find a password entry named "Preview Signature Privacy" - this is the password used to encrypt the signature data.

If you wanted to take the stored signature data and move it to a different computer, you would need to not only transfer the plist file - but also copy over the password.