"which mechanical and electronic components are used to make thumbs and four finger"
There are many, many different options you could use. Really, this is kind of an odd question, as I don't think that specific mechanical and electrical components are usually associated with specific robot body parts. You can take the same materials and actuators and apply them to many different body forms.
To make the structure of the hand itself, you need something tube-like for the finger segments (the bones, if you will) and you will need hinge joints between them. You could buy hinges or try to make them yourself. You will probably want to add grippy material to the underside of each finger, to make it easier to pick up objects.
Any type of actuator that you would normally see in robotics would work for the fingers: servos, stepper motors, DC motors with appropriate gearboxes, maybe even some very small pneumatic or hydraulic cylinders. You could even use an artificial muscle like nitinol wire or coiled nylon fishing line. Whatever you use, mounting it directly on the hand is probably not the best solution (unless you pick artificial muscles); instead, mount it on the arm and run strings to the fingers. The exact type of actuator you want will depend on a lot of design specifics like how strong the hand needs to grip, your budget, your power supply, and so on. The actuators you choose will then determine your choice of electrical components, as you will need to build driver circuits that work with them.
