After buying him, I water him every second day, but his leaves have started to fall off and I think he is dieing. I leave him in direct sunlight for about 4 hours each day.

I am not a bonsai expert but I see so many people go out and buy or receive bonsais as gifts only to watch them die. Myself included. You cannot do enough research when it comes to the art of bonsai. It is not an easy thing to keep a bonsai alive. They need special care as the taproot needs to be continually cut back to keep the plant miniature. Re potting on a regular basis is a must. Fertilizing is specialized. Even the potting soil used is a special preparation for Bonsai's using decomposed granite. I choose not to even try as I have a busy schedule and do not give them the care they need. Hope this helps to ignite your need to research.