“In 2011 the company merged and the shares have been converted into cash. Federal Income Tax Withheld has retained 28% of the value.”--->You had to file IRS Form W8BEN to establish that you are not a U.S. person and to claim a reduced rate of, or exemption from, withholding as a resident of a foreign country with which the US has an income tax treaty.
“Is there any posibility to claim back any of this tax paid?”----> Generally, you must file a tax return after the end of the tax year to claim a refund of withholding. You 1040NR, U.S. Nonresident Alien Income Tax Return. If you ned to file 1040NR.You should also attach a copy of the Form 1042-S, Foreign Person's U.S. Source Income Subject to Withholding, showing the taxes withheld to your Form 1040NR.
“ Is this 28% the correct tax?”--->30%;you, as a foreign person, are subject to U.S. tax at a 30% rate on income you receive from U.S. sources that consists of dividends and interest.
gambling winnings by nonresidents of the U.S. are generally taxed at a flat 30% tax rate.
Please visit the IRS Website here; http://www.irs.gov/pub/irs-pdf/iw8ben.pdf The Taxation of Capital Gains of Nonresident Alien Students, Scholars and Employees of Foreign Governments
“ Should I paid this in the US or in my home country ?”---> I guess as yur world wide income, you may have to pay the LTCG on your return in your country. Please check it with your taxing authority(ies) in your country.